MBS Desk Quant Portfolio Construction – Performance Attribution MBS Desk Quant Portfolio Construction –  …

Analytic Recruiting Inc.
in Washington D.C., DC, United States
Permanent, Full time
Last application, 25 Sep 19
Competitive
Analytic Recruiting Inc.
in Washington D.C., DC, United States
Permanent, Full time
Last application, 25 Sep 19
Competitive
A Washington DC based fixed income investment manager is looking for an Agency and Non-Agency MBS Desk Quant to partner with portfolio managers on investment strategies and portfolio construction.

The role supports and works directly with the securitized portfolio managers covering RMBS, CMBS, ABS and CMO’s.

RESPONSIBILITIES

  • Work directly on the MBS desk with PM’s as an embedded quantitative analyst
  • Build, run and analyze pre-payment and investment models for rapid decisions
  • Develop optimal trading strategies across agency and non-agency MBS markets
  • Work on portfolio construction models and perform scenario analysis
  • Work of performance attribution and portfolio risk models
  • Construct and run optimizations
  • Develop dynamic sector allocation models
  • Create data visualizations for the PM’s
  • Analyze and interpret portfolio risk reports

PREFERRED QUALIFICATIONS

  • Must have 3+ years of portfolio management experience working as a desk quant with Agency and Non-Agency MBS Portfolio management models (Portfolio Construction, Optimization, Scenario Analysis, Risk and Performance Attribution)
  • Must have an advanced quantitative degree (PhD preferred)
  • Must have proven experience with Mortgage data, especially Agency CPR models
  • Experience with statistical model building, sampling, simulations, and optimization
  • Experience with advanced statistical / econometric / machine learning methods
  • Must be able to provide rapid analysis to PM’s working in a trading room
  • Must have current and strong programming skills (R, Python, SQL)

Keywords: Performance Attribution, Portfolio Risk, R, Pre-Payment Models, Fixed Income, Portfolio Construction, Asset Allocation, Analytics

Please refer to Job 23466 – and send MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com | For More Opportunities, please visit www.analyticrecruiting.com

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