The Bloomberg Structured Products team is responsible for all data, cash flows and analytics for the two million plus bonds that comprise the structured products universe.
Requirements
- Strong quantitative experience within the US Agency MBS Sector with a focus on term structure modeling, PnL tracking, and risk management
- 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, Linux/windows environments
Responsibilities
- Work collaboratively with team members to manage and enhance the implementation of Bloomberg’s RFR market model for use in valuing US mortgage-backed securities
- Work collaboratively with team members to develop and release tools for conducting return attribution, total/excess return analysis, interest rate/volatility scenario analysis, per path OAS analysis, and risk measurement/risk 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
Other
- BA/BS in Mathematics, Statistics, Economics, or other quantitative field
- Excellent verbal and written communication and interpersonal skills
- 4+ years of professional experience
- Passion for financial markets
