Quantitative Analyst - Securitized Products
Verition Fund Management LLCUnited States16 days ago
Full-timeEngineering
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Verition Fund Management LLC (“Verition”) is a multi-strategy, multi-manager hedge fund founded in 2008. Verition focuses on global investment strategies including Global Credit, Global Convertible, Volatility & Capital Structure Arbitrage, Event-Driven Investing, Equity Long/Short & Capital Markets Trading, and Global Quantitative Trading. Our global risk team is looking for a Quantitative Analyst specifically with Securitized Products experience to join our team.
Responsibilities:
Responsibilities:
- Develop advanced tools to augment the processes of risk analysis and risk monitoring within the securitized product space. Analyze portfolios and strategies to identify the risk/return dynamics
- Collaborate with risk managers and portfolio managers on topics including management of tail risk exposure, scenario analysis, usage of risk limits, portfolio construction, and capital allocation
- Assist in the development and enhancement of pricing and risk models, stress testing and Value at Risk (VaR) methodologies for securitized products
- Engage in research activities and develop new risk management strategies and analytical tools for investment teams and risk managers
- Collaborate closely with the technology team to transition prototypes into operational production systems
- Advanced degree (Masters/PhD) in Physics, Engineering, Mathematics, Statistics or related fields
- Two or more years’ experience in programming in Python. Experience with Linux bash scripting and SQL.
- Experience in deploying applications in production environment
- Experience in production software development life cycle
- Having good communication skills, great attention to detail and strong interest in technology
- Knowledge of securitized products such as MBS, CMBS, ABS, CLO
- Experience in prepayment and default modeling
- Experienced in dealing with large data sets
- Experience with Intex or Yieldbook
- Experience in C/C++, Java or C# not required but is a plus
- Knowledge of Excel functions and macros
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