The Asset Management Division of a NYC Bank is looking for a Quantitative Mortgage Specialist (PhD) to provide the analysis and support for the MBS Portfolio Managers. The Candidate will be part of the MBS Portfolio Investment team and will be responsible for all Quantitative MBS Trading and Risk Analysis, including: Mortgage Basis/Rich Cheap Analysis, Prepayment Projections, Roll Rate Analysis, Agency and Non-Agency relative value analysis, Sector Recommendations-MBS Basis, CMO, Passthroughs, Derivatives, Performance Attribution, Asset Allocation and Portfolio Optimization.

The Candidate must have an advanced quantitative degree (PhD preferred) and at least 3 years of solid MBS modeling experience with either a sell side MBS firm in MBS Research or a buy side investment manager. Deep Knowledge of how Yield Book, Blackrock Solutions, and Intex Models work is a requirement. Understanding the data inputs into these models and solid data management and analysis are also a requirement. The Candidate should also have experience working in MBS/Fixed Income portfolio management or MBS Research at a major firm.

Please contact Jim Geiger  jeg@analyticrecruiting.com   212 545-8511x118