Bloomberg
Senior Quantitative Analyst – Interest Rate Modeling & Risk Analytics
Bloomberg, New York, New York, us, 10261
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Senior Quantitative Analyst – Interest Rate Modeling & Risk Analytics
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Bloomberg The Bloomberg Structured Products team is responsible for all data, cash flows and analytics for the two million plus bonds that comprise the structured products universe. Base pay range
$155,000.00/yr - $285,000.00/yr Location: New York Business Area: Engineering and CTO Description & Requirements
The Bloomberg Structured Products Quantitative Research Team is an enthusiastic, talented team of quants who work side by side with product managers, engineers, and sales to create high impact valuation, surveillance and risk management tools for both internal and external clients. Who We Are : We develop models that forecast cash flows for a variety of Agency, Non-Agency and ABS securities, produce valuation metrics used to determine relative value, and develop risk analytics used to quantify market risk for hedging and return attribution. Who You Are : An innovative quantitative research analyst with a strong interest in financial markets. Someone who cares about the impact of their work and enjoys working with large datasets, conducting regression analysis, building analytic valuation tools, and supporting our clients. As part of this team, we'll trust you to : Work collaboratively with team members to manage and enhance the implementation of Bloomberg’s RFR market model for use in valuing US mortgage-backed securities Work collaboratively with team members to develop and release tools for conducting return attribution, total/excess return analysis, interest rate/volatility scenario analysis, per path OAS analysis, and risk measurement/risk management of US mortgage-backed securities Create analytical tools and reports that help clients track model performance, quantify market risk, and assess relative value Contribute to whitepapers, published reports, and webinars Help the team evolve and operate on a day-to-day basis You’ll need to have : Strong quantitative experience within the US Agency MBS Sector with a focus on term structure modeling, PnL tracking, and risk management 4+ years of professional experience building and maintaining term structure models used to value mortgage-backed securities Strong quantitative, analytical and problem solving skills Experience working with large data sets and conducting regression analysis Proficiency in SAS or equivalent, Excel, Linux/windows environments Excellent verbal and written communication and interpersonal skills BA/BS in Mathematics, Statistics, Economics, or other quantitative field We'd love to see : MS or PhD in Mathematics, Statistics, Economics, or other quantitative field A passion for financial markets Salary Range = 155000 - 285000 USD Annually + Benefits + Bonus
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Senior Quantitative Analyst – Interest Rate Modeling & Risk Analytics
role at
Bloomberg The Bloomberg Structured Products team is responsible for all data, cash flows and analytics for the two million plus bonds that comprise the structured products universe. Base pay range
$155,000.00/yr - $285,000.00/yr Location: New York Business Area: Engineering and CTO Description & Requirements
The Bloomberg Structured Products Quantitative Research Team is an enthusiastic, talented team of quants who work side by side with product managers, engineers, and sales to create high impact valuation, surveillance and risk management tools for both internal and external clients. Who We Are : We develop models that forecast cash flows for a variety of Agency, Non-Agency and ABS securities, produce valuation metrics used to determine relative value, and develop risk analytics used to quantify market risk for hedging and return attribution. Who You Are : An innovative quantitative research analyst with a strong interest in financial markets. Someone who cares about the impact of their work and enjoys working with large datasets, conducting regression analysis, building analytic valuation tools, and supporting our clients. As part of this team, we'll trust you to : Work collaboratively with team members to manage and enhance the implementation of Bloomberg’s RFR market model for use in valuing US mortgage-backed securities Work collaboratively with team members to develop and release tools for conducting return attribution, total/excess return analysis, interest rate/volatility scenario analysis, per path OAS analysis, and risk measurement/risk management of US mortgage-backed securities Create analytical tools and reports that help clients track model performance, quantify market risk, and assess relative value Contribute to whitepapers, published reports, and webinars Help the team evolve and operate on a day-to-day basis You’ll need to have : Strong quantitative experience within the US Agency MBS Sector with a focus on term structure modeling, PnL tracking, and risk management 4+ years of professional experience building and maintaining term structure models used to value mortgage-backed securities Strong quantitative, analytical and problem solving skills Experience working with large data sets and conducting regression analysis Proficiency in SAS or equivalent, Excel, Linux/windows environments Excellent verbal and written communication and interpersonal skills BA/BS in Mathematics, Statistics, Economics, or other quantitative field We'd love to see : MS or PhD in Mathematics, Statistics, Economics, or other quantitative field A passion for financial markets Salary Range = 155000 - 285000 USD Annually + Benefits + Bonus
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