An exciting opportunity has emerged at this prestigious Investment Bank, who are already a world-wide recognized leader. They set the industry standard in the MBS and ABS market, and are now seeking an experienced and talented interest rate modeler/programmer for the award-winning Mortgage and Asset-Backed Research Group. The responsibility includes developing and supporting interest rate models for mortgage valuation as well as analyzing relative value of MBS securities. The analyst will also be working with other groups and expected to communicate with clients on issues related to MBS pricing.



Responsibilities include:

- Research, implement and maintain interest rate models for mortgage valuation.

- Work closely with application development team through the full development cycle from product initial specification to final delivery.

- Work with application developers on integration and testing.



Qualifications, skills and experience:

- Previous experience as a modeller/programmer. Those with exposure to MBS and ABS market are at an advantage.

- PhD in Mathematics, Physics, Engineering, Finance or related field.

- Fluent in C/C++ and strong programming skills.

- Strong software engineering skills in a multi-platform/multi-programmer environment.

- Experience in parallel computing.

- Familiar with scripts such as awk, sed, perl and python.

- Working knowledge of Matlab.



The team has outstanding bonus opportunities, based on high performances.



To apply please contact quantexotic@selbyjennings.com with CV in word format.

www.selbyjennings.com

+ 44 (0) 207 019 4137