Millennium’s FI Risk team is looking for a Structured Product Quant/Strat to build default and loss curves by leveraging available structured product models and historical data across the fund’s various structured product types.
Requirements
- 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
Responsibilities
- build default and loss curves by leveraging available structured product models and historical data
- constructing historical pricing time series (spreads, prices, etc.)
- conducting historical P&L and stress simulations based on such datasets
- large datasets, including data cleaning and verification using SQL, Excel and Python
- building complex data analytics prototypes in Excel
- developing specifications and performing user testing post-implementation
- writing production-level code is a plus
Other
- 5-10 years of experience in Structured Product Analytics / Risk (preferably Front Office Risk) / Trading at a sell or buy-side firm
- 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
- Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package.
