Desk Quant

This role involves developing and enhancing quantitative models for securitization, risk assessment, and pricing strategies related to CMBS, RMBS, and CLO's. Collaboration with traders, portfolio managers, and technology teams is a key aspect of optimizing investment decisions.

Client Details

Institutional investment management firm located in Midtown, Manhattan.

Description Key Responsibilities:

• Develop and refine credit rating models to assess securitization credit enhancement levels for mortgage pools.

• Build amortization cashflow and securitization models, ensuring alignment with industry benchmarks such as Intex and Bloomberg.

• Construct loan-level pricing engines based on whole loan pricing, deal execution pricing, and rate sheet pricing.

• Model deal execution and sensitivity analysis, incorporating detailed loan-level data, market conditions, and associated costs.

• Develop scripts and tools for systematic market analysis, trading activities, and portfolio reporting.

• Build calculation engines for price, yield, duration, and other financial metrics.

• Work with technology teams to enhance trading systems, P&L systems, booking systems, and loan management platforms.

• Maintain awareness of market trends, regulatory changes, and risk factors affecting CMBS/RMBS investments.

Profile Required Qualifications:

• Bachelor's or Master's degree in mathematics, computer science, finance, or a related field.

• Five or more years of experience in residential or commercial mortgage-backed securities.

• Strong programming skills in Python (C++ is a plus).

• Expertise in amortization cashflow generation, price-yield calculations, and securitization deal structuring.

• Proficiency in object-oriented programming and financial modeling.

• Experience with IntexCalc or IntexAPI.

• Strong understanding of private label securitization dynamics.

• Effective analytical and communication skills.

Job Offer

$165,000 - $220,000 base salary, plus bonus.

MPI does not discriminate on the basis of race, color, religion, sex, sexual orientation, gender identity or expression, national origin, age, disability, veteran status, marital status, or based on an individual's status in any group or class protected by applicable federal, state or local law. MPI encourages applications from minorities, women, the disabled, protected veterans and all other qualified applicants.