Job Title: Director, RMBS/ABS Desk Quant
A multi-billion AUM Mortgage Hedge Fund is looking for a Director level Desk Quant to join the RMBS/ABS team. This role focuses on non-agency mortgage and consumer loan research, strategy, and modeling, with an emphasis on residential mortgages (RMBS) and consumer assets like unsecured personal loans, auto loans, solar, and home improvement loans. You will develop investment strategies and models, forecasting loan performance to create value for clients across these sectors.
Key Responsibilities:
- Develop and execute investment strategies focused on non-agency mortgages (e.g., CRT, RPL/NPL, Non-QM, Jumbo Loans) and consumer assets (e.g., auto, personal, solar loans)
- Build and refine quantitative models to forecast loan performance and risk
- Collaborate with traders, quantitative programmers, and investment teams to shape and implement strategies
- Perform research and modeling on prepayment and default behaviors for both RMBS and ABS markets
- Partner with risk managers and controllers to ensure robust strategy execution
- Contribute to new product development and model enhancements across both mortgage and consumer loan sectors
Key Requirements:
- 10+ years of experience in RMBS/ABS research, strategy, and modeling, with expertise in non-agency mortgages and consumer loans
- Strong technical and quantitative modeling skills (at least a Master's degree in a related field like Physics, Mathematics, Computer Science, or Engineering)
- Prepayment and Default Modeling experience
- Expertise in residential mortgages (RMBS), non-performing loans (NPL), re-performing loans (RPL), Non-QM, and consumer loan markets
- Proficient in programming (Python, SQL) and deploying models in production
- Business acumen and commercial sense to complement strong technical expertise
