Demo

SVP/Director, Senior Modeler and Desk Quant – RMBS/ABS

Cerberus
New York, NY Full Time
POSTED ON 1/29/2025
AVAILABLE BEFORE 4/10/2025

Responsibilities

Deliverables

  • Work closely with the investment team on developing investment thesis and execution strategy
  • Develop quantitative analysis / models for data across RMBS / ABS / consumer assets such as personal / auto / student loans / solar loans
  • Partner with traders, programmers, controllers, and risk managers
  • Develop statistical models and analyze prepayment / default behavior for ABS and mortgage related assets
  • Work on developing new products and risk models
  • Manage monitoring and research related to mortgage model performance and the all-end implementation and testing of and research into the group’s internal and vendor pricing models

Key Requirements :

  • 10 years of experience working in an RMBS / ABS / mortgage prepayment and default modeling capacity
  • Ideally Advanced degree (Masters / PhD) in Physics, Computer Science, Engineering, Mathematics or Statistic
  • Strong preference for candidates with Sell-side or Asset management experience and direct familiarity with capital markets / portfolio management and deal structuring
  • Strong understanding of securitized and structured products with background in both RMBS and ABS collateral and securities
  • Experience in prepayment and default modeling and deal structuring
  • Extensive experience managing large loan level and pool data. Demonstrated ability to manipulate and analyze large datasets, summarize and validate modeling hypothesis
  • Experience with a programming language required (ideally Python and SQL)
  • Experience in deploying models in production environment
  • The base salary for this position is expected to be between $200,000.00 and $275,000.00. The base salary offered to the chosen candidate will be commensurate with a candidate’s relevant experience and other qualifications for the position, as determined by the Company in its sole discretion. In addition to base salary, this position is eligible for an annual discretionary bonus, which is often a meaningful portion of the compensation package, and a robust benefits package.

    Salary : $200,000 - $275,000

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