Senior Quantitative Analyst

x000D x000D As a part of the Fixed Income Products Technology team , build and integrate custom prepay , default and other models for Risk Management and Risk Reporting supporting the Credit Risk and Front Office teams. The group focuses on building and integrating models with their valuation systems to evaluate how Agency MBS portfolio and other fixed income security portfolios will perform under changes in interest rates etc. As a Senior Quantitative Analyst your main responsibilities will involve:x000D x000D Researching and modelling fixed income securities.x000D x000D Model validation and testing.x000D x000D Responsible for financial modelling , analysis and data collection , as well as the interpretation of market information , statistics , and pricing.x000D x000D Qualification:x000D x000D At least 5 years of experience working on interest rate , market risk and other models_x000D_ x000D Very strong econometrics knowledge (time - series , multi - variate statistics)x000D x000D Phd. In Maths , Economics , Physics or similar_x000D_ x000D Experience with MBS data and prepayment modelling would be a definite plus_x000D_ x000D