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Senior Quantitative Analyst - Home Price Modeling Job Opening In New York – Now Hiring Bloomberg


Job description

Senior Quantitative Analyst - Home Price Modeling

Location
New York

Business Area
Engineering and CTO

Ref #
10045275

Description & Requirements

The Bloomberg Structured Products team is responsible for all data, cash flows and analytics for the two million plus bonds thatprise the structured products universe.

We own some of Bloomberg's largest databases, highest hit services, mostprehensive cash flow model libraries, and mostplex analytic tools and valuation screens.

Our products support Bloomberg's industry leading fixed ie indices, security valuation services, portfolio management and trading platforms, as well as the daily workflow of countless traders, portfolio managers and research analysts.



Who we are
The Bloomberg Structured Products Quantitative Research Team

We are 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.



Our teams 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.



We strive to create best-in-class prepayment/credit models for the US Agency MBS/CMBS, US Residential Non-Agency, Credit Risk Transfer (CRT), Mortgage Insurance, HELOC/HEL, Auto ABS and Japanese MBS markets.

We also develop the home price and interest rate models that help power our prepayment and credit models.

Our models are developed in conjunction with aprehensive suite of daily analytics reports, model surveillance reports, whitepapers, specified pool cohorts, and valuation tools.



We aim to provide timely model updates that incorporate the latest prepayment and credit data, stay in sync with evolving market developments and expand model coverage for new product types, while allowing clients the ability to fully customize their user experience with aprehensive and intuitive set of model overrides.



We strive to continually improve our valuation and surveillance platform by maintaining an ongoing, open dialogue with the entiremunity of traders, portfolio managers, regulators, research analysts and mortgage agencies that incorporate our models into their daily workflow as well as internal partners such as Index/PORT, BVAL, MARS, NEWS and BI.



Our current Agency MBS projects include the development of a loan-level agency prepayment model and a new prepayment model for the GNMA project loan sector.



Our current residential credit projects include the development of a new prepay/credit model for securities backed by home equity lines of credit (HELOC) and home equity loans (HEL), and expanding multipath OAS coverage for existing sectors through BTM model service enhancements.



Other projects include updates to our mortgage rate models and the development of a new home price model.


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.

You enjoy collaborating and working closely with other people.

You're a problem solver, eager to learn, and have a strong interest in the structured products domain.



As part of this team, we'll trust you to
  • Work collaboratively with team members to develop a new US regional home price model for use in valuing 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 housing markets with a focus on home price modeling
  • 4+ years of professional experience building and maintaining home price 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 writtenmunication 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

    The referenced salary range is based on thepany's good faith belief at the time of posting.

    Actualpensation may vary based on factors such as geographic location, work experience, market conditions, education/training and skill level.



    We offer one of the mostprehensive and generous benefits plans available and offer a range of total rewards that may include merit increases, incentivepensation (exempt roles only), paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) +match, life insurance, and various wellness programs, among others.

    Thepany does not provide benefits directly to contingent workers/contractors and interns.



    Job ID 3171_10045275

    Required Skill Profession

    Mathematical Science Occupations


    • Job Details

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