Quantitative Research SPG Associate
Quantitative Research SPG Associate
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Job Description
As a Quantitative Researcher (SPG) you could have one or more of the following responsibilities:
Develop support and enhance sophisticated prepayment and interest rate models to value and hedge MBS/ABS securities whole loans and other SPG portfolios
Provide risk analytics and technical documentation for models used in pricing Asset/Mortgage Backed securities and Mortgage Servicing Rights
Improve the performance of SPG trading algorithms and key trading tools to our clients worldwide. Research and develop relative value tools that generates trading signals for SPG products
Build frameworks in C/Python to optimize ABS/MBS cashflow calculations in the model/cashflow libraries
Collaborate with risk function professionals to address regulatory concerns model related risks & issues
Collaborate with SPG Front Office teams to build custom features to their trading applications/tools
Required Experience:
IC
Employment Type
Full-Time
