Structured Product Quant/Strat

Millennium•New York, NY

42d•$160,000 - $250,000

About The Position

Millennium’s FI Risk team is looking for a Structured Product Quant/Strat. This person will work with the existing risk and technology teams to build default and loss curves by leveraging available structured product models and historical data across the fund’s various structured product types.

Requirements

5-10 years of experience in Structured Product Analytics / Risk (preferably Front Office Risk) / Trading at a sell or buy-side firm
Comprehensive knowledge of structured products including non-agency RMBS, CMBS, CMBX, CRT, CLO, ABS, ABF, MSR, residential whole loans, commercial loans, student loans and consumer loans
Deep understanding of product-specific model assumptions, analytics outputs, and relevant data sources for historical pricing and market data
Advanced skills in constructing historical pricing time series (spreads, prices, etc.) and conducting historical P&L and stress simulations based on such datasets
Demonstrated proficiency with large datasets, including data cleaning and verification using SQL, Excel and Python
Strong hands-on experience building complex data analytics prototypes in Excel, developing specifications and performing user testing post-implementation. Experience in writing production-level code is a plus.
Proven track record of managing risk technology development resources and solving problems
Strong interpersonal skills, with the ability to communicate with senior leaders including management and Portfolio Managers
High sensitivity to details and strong sense of urgency, and strong organizational skills. Ability to reason through and solve open ended questions