Quantitative Developer - Securitized Products
Tasks
- Build cash flow generation and prepayment modeling frameworks
- Create production-ready valuation models
- Design prepayment default and loss severity models
- Develop pricing libraries for securitized products
- Implement risk analytics for structured credit portfolios
- Maintain and extend securitized products lifecycle management frameworks
- Produce technical documentation for technical and non technical audiences
Perks/Benefits
- 401k match
- Dental insurance
- Life insurance
- Maternity leave
- Medical insurance
- Paternity leave
- Personal Time Off
- Vision insurance
- Volunteer time off
- Work from anywhere 3 weeks out of the year
- Work from home Fridays
Skills/Tech-stack
CPR | Cash Flow | Cash flow modeling | Convexity | Credit Enhancement | Credit Risk | DV01 | Default modeling | Duration | Flow modeling | Hull-White | Interest Rate | Interest Rate Risk | Loss Severity | Loss Severity Modeling | PSA | Prepayment modeling | Pricing models | Python | Risk Analytics | Scenario Analysis | Severity Modeling | Short Rate Models | Spread Risk | Stress Testing | Structured products | Tranche Level Analytics
Education
N/A
Roles
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