Quantitative Research Analyst, Mortgages
- Location
- Greater London, England, United Kingdom
loan‐level and cashflow modelling across illiquid mortgage credit, including collateral analysis, recovery assumptions and structural waterfalls REQUIREMENTS Masters degree or PhD in Mathematics, Physics (non‐experimental), Probability/Statistics, Engineering, or (Mathematical) Finance Must have a familiarity with mortgage products, Intex and data analysis or empirical modelling … analytical skills – knowledge of advanced pricing techniques (Monte Carlo, prepayment modelling and scenario engines), asset pricing theory, probability theory, and cash flow/bond maths (e.g. OAS calculations) Experience designing, coding, and implementing pricing and surveillance frameworks for automation/streamlining of tasks Strong coding skills in Python – candidates ...