$50+bbn Structured Products focused hedge fund is hiring a Senior ABS Desk Strategist for their investment platform. The team manages a $15bbn portfolio across various structured products.
* Development of ABS related statistical models and perform analysis of prepayment/default and contribute to strategy development efforts
* Development of quantitative models across various asset backed securities
* Partner with greater investment team on strategy development around ABS; Partner with traders, programmers, controllers, and risk managers.
* Manage monitoring and research related to mortgage model performance
* Over 6 years of hands on ABS modeling and prepayment modeling
* Experience with Portfolio Management, capital markets knowledge and deal structuring
* Asset Backed Security experience personal loans, autos, student loans, aircraft leases, credit card receivables, mortgages, business loans, etc.
* Advanced degree in quant or STEM field
* Fundamental knowledge of structured products
* Poll data/consumer loan data experience
* Deal structuring, prepayment modeling experience
* Experience with predictive modeling on large data sets
* Implementation of production level models
* Programming required (i.e Python, SQL, etc.)