Quantitative Analyst in New York

Lead Quantitative Analyst (Mortgage)

264-276k

NYC (hybrid)

Lead Quantitative Analyst role available! Your team's focus will be on mathematical concepts and programming and will manage all quantitative modeling related to market and interest rate risk on mortgage products (consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products).

Benefits

• Start on 1st day
• Medical, dental, vision
• 6% match on 401k, 4-16 weeks paid parental leave
• 144 hours up-front PTO, additional PTO afterward (accrued)
• Variable bonuses, backup child care, tuition reimbursement 
• Commuter benefits, paid parking, more

Responsibilities

• Implement interest rate models, mortgage prepayment models, mortgage default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage...

Quantitative Analyst Lead

180-375k
Hybrid in NYC

This position will be part of the Mortgage Model Development Group that will focus on mathematical concepts and programming. The group manages all quantitative modeling related to market and interest rate risk on the bank’s mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.

In this role you will:

Implement interest rate models, mortgage prepayment models, mortgage default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage business.
Implement and enhance the firm’s proprietary quantitative library in C++
Generate, test, implement, and deploy ideas to improve system performance or team productivity
Improve the safety and reliability of the library
Partner constructively in collaboration with business, model development, model...