Job description
- Develop and implement of the cash flow model that the team uses to price, hedge, and manage risk
- Communicate with senior fund management, research team and IT
- Monitor and compare our past performance to our model on various risk metrics
- Develop full understanding of the complex cash flows involved in MSR as an asset
- Handle the implementation and development of models in C++ and Visual Basic.
- Perform ad hoc analysis on new business ventures and exotic asset purchase ideas.
Minimum Requirements: Master’s degree or foreign equivalent in Mathematics, Statistics, Economics, Finance or a related field with quantitative emphasis, plus 2 years of experience in in the following:
- Modeling MSR cash flows
- Interest rate and credit risk of the asset
- Data manipulation and visualization in Excel including writing macros and customized functions in VBA
- Programming object-oriented languages such as C++ or Python
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