Senior Quantitative Analyst – Interest Rate Modeling & Risk Analytics
About The Position
The Bloomberg Structured Products Quantitative Research Team develops valuation, surveillance, and risk-management tools for structured products. The team builds cash-flow forecasting models, valuation metrics, and risk analytics for products including Agency and Non-Agency mortgage-backed securities and asset-backed securities. Its work supports Bloomberg’s fixed-income indices, security valuation services, portfolio management and trading platforms, and the daily workflow of market participants. The Senior Quantitative Analyst will collaborate with team members to manage and enhance Bloomberg’s RFR market model for valuing US mortgage-backed securities. The role will also develop tools for return attribution, total and excess return analysis, interest-rate and volatility scenario analysis, per-path OAS analysis, and risk measurement and management. The analyst will create client-facing tools and reports, contribute to research publications and webinars, and help operate and evolve the team’s work.
Requirements
- Strong quantitative experience within the US Agency MBS sector, focused on term structure modeling, PnL tracking, and risk management.
- At least 4 years of professional experience building and maintaining term structure models used to value mortgage-backed securities.
- Strong quantitative, analytical, and problem-solving skills.
- Experience working with large data sets and conducting regression analysis.
- Proficiency in SAS or equivalent, Excel, and Linux/Windows environments.
- Excellent verbal and written communication and interpersonal skills.
- BA/BS in Mathematics, Statistics, Economics, or another quantitative field.
Nice To Haves
- MS or PhD in Mathematics, Statistics, Economics, or another quantitative field.
- A passion for financial markets.
Responsibilities
- Collaborate with team members to manage and enhance Bloomberg’s RFR market model for valuing US mortgage-backed securities.
- Develop and release tools for return attribution, total and excess return analysis, interest-rate and volatility scenario analysis, per-path OAS analysis, and risk measurement and management of US mortgage-backed securities.
- Create analytical tools and reports that 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.
Benefits
- Merit increases
- Incentive compensation (exempt roles only)
- Paid holidays
- Paid time off
- Medical benefits
- Dental benefits
- Vision benefits
- Short- and long-term disability benefits
- 401(k) with match
- Life insurance
- Wellness programs
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What This Job Offers
Job Type
Full-time
Career Level
Senior
