Quantitative Risk Analyst Structured Products Modeler

  • Competitive
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 19 Mar 18 2018-03-19

A major NY based financial firm is looking for a junior quantitative analyst to develop, model and reverse engineer complex structured transactions (CMBS, ABS, CDO, CLO).


  • Build and analyze market and liquidity risk analytics
  • Develop cash flow models for CMBS, ABS, CDO, and CLO structures
  • Analyze the portfolio's interest rate hedging strategy
  • Analyze the models default and recovery assumptions
  • Improve data gathering and data analytics capabilities
  • Work on improving market risk models and related databases


  • Must have a M.S. in a Quantitative Field-Math, Stats, Engineering
  • 1-3 years of Structured Products experience, (MBS, CMBS, ABS, Derivatives)
  • Must have experience working with Mortgage Credit Models and Whole Loan prepayment models
  • Must have experience constructing interest rate curves
  • Must have strong programming (Python, SQL, C or C++, or Java, and VBA)
  • Nice to have: Credit Risk Modeling -Forecasting and Time Series Modeling experience
  • Nice to have: CFA or FRM
  • Must be a US Citizen or Permanent Resident

 Keywords: Market Risk, CMBS, Collateral Analysis, Prepayment Modeling, RMBS, Whole Loans, Scripting Languages, Forecasting Models

Please refer to Job #22717 - and send MS Word attached resume to jeg@analyticrecruiting.com