A growing multi-strat hedge fund in NYC is looking to bring on an experienced mortgage quantitative strategist onto their centralized Macro Strats team. The group focuses on the pricing and modeling as well as maintaining the analytical library for the firms fixed income instruments. This strategist will also be directly supporting an MBS focused Portfolio Manager on removing beta from strategies, alpha signal generation, and developing/implementing new strategies.
Job Description
- Develop pricing models and support the analytics library across mortgage products
- Build prepayment models for MBS models
- Collaborate with portfolio manager and other traders to research and develop new strategies
- Develop and implement macroeconomic models using time series modeling
- Conduct data analysis to provide up-to-date market trends
Skills
- Strong skillset in C++ and Python, time series analysis
- Experience building models across mortgage products
- Developing and integrating models into an analytics library
- Exposure to trading market neutral and relative value strategies
- MS/PhD in STEM field
- Good communication skills
