Quantitative Strategist (Rates) - Vice President - Director

Deutsche Bank•New York, NY

2d•$155,000 - $325,500•Hybrid

About The Position

The Quantitative Strategist - Rates will support Deutsche Bank’s Agency RMBS and CMO business, partnering closely with Trading, Structuring, Technology, and Operations to develop and enhance mortgage analytics within the strategic Kannon platform. The role contributes to pricing, risk, prepayment, and cashflow analytics used across the mortgage trading desk, delivering intraday and end-of-day risk, valuation, and P&L information for securitized products. The position develops quantitative tools and models for mortgage trading decisions, risk management, portfolio optimization, risk attribution, P&L explain, and market opportunity identification. It also contributes to the strategic evolution of the platform, promotes development best practices, and collaborates across quantitative, trading, and technology teams. The position follows the Bank’s hybrid working model and is expected to work in the New York City office accordingly.

Requirements

Strong object-oriented programming skills in C++ and Python.
Experience developing and supporting large-scale production analytics platforms.
Multiple years of experience supporting Agency RMBS, CMOs, or mortgage derivatives within a front-office or quantitative environment.
Strong understanding of mortgage-backed security valuation, cashflow modeling, prepayment behavior, OAS analytics, and mortgage risk management.
Experience developing and implementing quantitative models, pricing libraries, and risk analytics used by mortgage trading desks.
Excellent analytical, problem-solving, communication, and organizational skills, with the ability to manage multiple priorities in a fast-paced front-office environment.
Team-oriented, attentive to detail, self-starting, and enthusiastic work habits.

Nice To Haves

Previous experience as a Quantitative Strategist, Quant Developer, or Front Office Strats professional supporting securitized mortgage products, especially Agency RMBS, CMOs, and mortgage derivatives.
Strong knowledge of mortgage market structure, including TBA trading, specified pools, CMO structuring, mortgage risk management, and trading workflows.
Experience with prepayment modeling, OAS analytics, Monte Carlo simulation, term structure models, and other fixed income quantitative techniques.
Academic background in Financial Engineering, Quantitative Finance, Mathematics, Physics, Computer Science, or a related quantitative discipline, with the ability to work across quantitative analytics and user-facing applications.
Strong understanding of risk attribution, P&L explain, and front-office decision-making, with the ability to translate complex quantitative concepts into practical solutions for trading and risk management.

Responsibilities

Develop and enhance pricing, risk, cashflow, and valuation analytics for Agency RMBS, CMOs, specified pools, TBAs, and related mortgage-backed securities within the strategic Kannon platform.
Partner with Trading, Structuring, Technology, and Operations to deliver scalable quantitative solutions for mortgage trading, risk management, and portfolio optimization.
Design and implement mortgage analytics, including prepayment modeling, OAS analytics, scenario analysis, relative value frameworks, and hedge effectiveness measures.
Build and maintain mortgage market data infrastructure covering securitized product reference data, valuation parameters, prepayment assumptions, and curve and volatility inputs.
Develop quantitative tools and models to improve trading decisions, risk attribution, P&L explain, and market opportunity identification across the mortgage business.
Contribute to the strategic evolution of the platform, mentor junior team members, promote development best practices, and drive collaboration across quantitative, trading, and technology teams.
Communicate clearly with Trading, Risk and Valuation Control, Research, and Technology.
Contribute to the strategic direction and evolution of the platform.