Securities Quantitative Analytics Associate

We are seeking a Securities Quantitative Analytics Associate. This position will be part of the Mortgage Model Development Center (MMDC). The MMDC centrally 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.

Candidates must live in NYC or Charlotte NC Salary range is 170-190K

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 in the organization

·       Implement and enhance the firm’s proprietary quantitative library in C++

·      ...