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++

·       Generate, test, implement, and deploy ideas to improve system performance or team productivity

·       Improve the safety and reliability of the library

·       Work constructively in collaboration with business, model development, model validation, and IT

Requirements

Required Qualifications:

2+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

Desired Qualifications:

·       Experience with multi-threading and asynchronous event-driven programming

·       Experience in software development cycle and agile technologies

·       Proficiency in SQL and VBA, Java, C#, or Python

·       Knowledge and understanding of Derivatives valuation

·       Experience in Mortgage analytics

·       Strong design, coding, testing and debugging skills.

·       Demonstrated experience in advanced and modern cpp features/techniques/libraries: templates, c++1x, std, boost etc.

·       Experience with large scale library development

·       Versed in software engineering principles

·       Experience in vendor model, solution or platform( Polypaths, ADCo, Intex, QRM, Bloomberg, Yieldbook)

·       Excellent verbal, written, and interpersonal communication skills

·       General knowledge of applied math and statistical methods

Job Expectations:

Ability to travel up to 10% of the time

Hybrid work arrangement

Posting end date may end early due to volume of candidates.

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