Salary: $150,000- $180,000 base

Top tier European investment bank is currently seeking an experienced Quant modeler for its Structured Credit and Mortgage trading unit in New York.

The role is a replacement hire due to promotion within the group, and offers a great opportunity for an experienced quant to manage a team and have significant responsibility for the quantitative function in the US.  The bank is significantly expanding the US trading operations and have put aside considerable budget for its development.  The structured credit and Mortgage desk is very successful and has an impressive portfolio.

Responsibilities

-Develop valuation/risk models including model conceptualization, C++ library, Excel toolkit for model access, and coordination with model validation, product control and IT.
-Covering products:  Single name and basket CDS/CLN, CDX options, sovereign bond options, Quanto-CDS, Extinguishable cross-currency swap, CLN with structured coupon (CMCDS and range accrual), callable CLN, local currency CLN, FX/CDS hybrid CDO; Non-payment insurance; Non-recourse financing of EM bonds; back-stop options, asset swap, liquidity swap, hybrid bonds with extension options, C-CDS.
-You will also develop Classical loan-level statistical models for prepay/default/delinquency/severity; interest rates and HPA dynamics; securitization of sub-prime and emerging market mortgage (Intex Dealmaker/Desktop/API and proprietary analytics), CDS on ABS, ABX, total return swap on CMBS indices, mortgage servicing rights, balance-guarantee swap. Also cover full range of alt-A, jumble, agency and CMBS products.
-Identifying, researching, developing prototype and maintenance of new and existing credit derivatives models with the rest of the team.
-Prototype and validate pricing and risk measurement methodologies.
-Review and improve valuation methods for existing products.
-Investigate and resolve modeling queries, arising from the use of the Pricing and Risk Management systems.
-Participate in the implementation of enhanced methodologies within the Pricing and Risk Management systems.
-Provide support to the business/traders in London and New York

Qualifications:

PhD level in a highly quantitative field e.g. Mathematics, Physics, Financial Engineering
High level of Financial mathematic ability in stochastic calculus, PDE's, Statistics, etc
Excellent level of C++ with hands on ability in library implementation.
Leadership credentials

To apply or for more information please contact by email 

www.selbyjennings.com, 00 44 (2) 07 019 4137