Quantitative Analyst - Securitized Products

Quantitative Analyst - Securitized Products

Verition Fund Management LLC ("Verition") is a multi-strategy, multi-manager hedge fund founded in 2008. Verition focuses on global investment strategies including Global Credit, Global Convertible, Volatility & Capital Structure Arbitrage, Event-Driven Investing, Equity Long/Short & Capital Markets Trading, and Global Quantitative Trading. Our global risk team is looking for a Quantitative Analyst specifically with Securitized Products experience to join our team.

Responsibilities:

• Develop advanced tools to augment the processes of risk analysis and risk monitoring within the securitized product space. Analyze portfolios and strategies to identify the risk/return dynamics
• Collaborate with risk managers and portfolio managers on topics including management of tail risk exposure, scenario analysis, usage of risk limits, portfolio construction, and capital allocation
• Assist in the development and enhancement of pricing and risk models, stress testing and Value at Risk (VaR) methodologies for securitized products
• Engage in research activities and develop new risk management strategies and analytical tools for investment teams and risk managers
• Collaborate closely with the technology team to transition prototypes into operational production systems

Qualifications:

• Advanced degree (Masters/PhD) in Physics, Engineering, Mathematics, Statistics or related fields
• Two or more years' experience in programming in Python. Experience with Linux bash scripting and SQL.
• Experience in deploying applications in production environment
• Experience in production software development life cycle
• Having good communication skills, great attention to detail and strong interest in technology
• Knowledge of securitized products such as MBS, CMBS, ABS, CLO
• Experience in prepayment and default modeling

Nice to have:

• Experienced in dealing with large data sets
• Experience with Intex or Yieldbook
• Experience in C/C++, Java or C# not required but is a plus
• Knowledge of Excel functions and macros

Salary Range

$135,000 - $180,000 USD