Senior Quantitative Analyst – Interest Rate Modeling & Risk Analytics
at Bloomberg
USD 155,000-285,000 per year
Used Tools & Technologies
Not specified
Required Skills & Competences
Tag name is followed by "@" symbol and proficiency level value.
About proficiency levels:
- 1-2 — basic awareness. Minimal hands-on experience, and a rudimentary understanding of the technology's purpose;
- 3-6 — daily use. Comfortable and regular usage, capable of handling common tasks and challenges related to the technology;
- 7-9 — you are an expert, you can teach others, you know all the pitfalls and tricks;
- 10 — exceptional knowledge, comprehensive understanding, and adeptness in all aspects of the technology, including advanced problem-solving. Think twice before claiming or demanding such level.
Linux @ 3
Statistics @ 4
Communication @ 4
Mathematics @ 4
BI @ 4
- 1-2 — basic awareness. Minimal hands-on experience, and a rudimentary understanding of the technology's purpose;
- 3-6 — daily use. Comfortable and regular usage, capable of handling common tasks and challenges related to the technology;
- 7-9 — you are an expert, you can teach others, you know all the pitfalls and tricks;
- 10 — exceptional knowledge, comprehensive understanding, and adeptness in all aspects of the technology, including advanced problem-solving. Think twice before claiming or demanding such level.
Details
The Bloomberg Structured Products team owns data, cash flows and analytics for the structured products universe, including large databases, cash flow model libraries, analytic tools and valuation screens. The team supports Bloomberg’s fixed income indices, valuation services, portfolio management and trading platforms, and provides daily workflow tools for traders, portfolio managers and research analysts.
Responsibilities
- Work collaboratively with team members to manage and enhance the implementation of Bloomberg’s RFR market model for valuing US mortgage-backed securities (MBS).
- Develop and release tools for return attribution, total/excess return analysis, interest rate/volatility scenario analysis, per-path OAS analysis, and risk measurement/management for US MBS.
- Create analytical tools and reports to 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, working closely with product managers, engineers, and sales.
Requirements
- 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.
- Experience developing prepayment and credit models and working on related valuation and surveillance tools.
- Experience working with large datasets and conducting regression analysis.
- Proficiency in SAS (or equivalent), Excel, and familiarity with Linux/Windows environments.
- Strong quantitative, analytical and problem solving skills.
- Excellent verbal and written communication and interpersonal skills.
- BA/BS in Mathematics, Statistics, Economics, or another quantitative field. MS or PhD in a quantitative field is a plus.
- A passion for financial markets and structured products is desirable.
Benefits
- Salary Range: 155000 - 285000 USD annually, plus benefits and bonus (actual compensation may vary based on location, experience, education and skill level).
- Comprehensive benefits that may include merit increases, incentive compensation (exempt roles), paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) with match, life insurance, and wellness programs.
- Note: The Company does not provide benefits directly to contingent workers/contractors and interns.
Additional Information
- Team focus areas include Agency MBS prepayment models, residential credit prepay/credit models (HELOC/HEL), mortgage rate models, and home price models.
- The role is part of the Bloomberg Structured Products Quantitative Research Team and operates closely with internal partners (Index/PORT, BVAL, MARS, NEWS, BI) and external clients (traders, portfolio managers, regulators, research analysts, mortgage agencies).