Job Information
Credit Suisse Quantitative Analyst in New York, New York
Enhance existing quantitative models to reflect evolving market dynamics and changes in mortgage underwriting as well as to expand model coverage. Create analytical tools and reports to help clients track collateral performance, quantify market risk, and assess relative value. Design and develop quantitative financial models (mortgage delinquent model, prepayment model, liquidation model, and severity model) to price and control risk of mortgage financial products. Perform ad hoc analysis to support traders and bankers, including divisional home price index with various loan-to-value forecasting and comparisons. Monitor Mortgage-Backed Securities positions and run Comprehensive Capital Analysis and Review tests to ensure the company can pass federally mandated stress tests under severe scenarios. Calibrate existing model parameters and develop new machine learning models for short-term mortgage projections. Develop machine learning models for Collateralized Loan Obligations and perform statistics analysis based on specified pools’ various attributes and trading history to provide investment advice to clients. Project expected loss and default numbers for issuing new deals. Work with programming languages such as Python, C++, SQL, SAS, and R.Requirements: Master’s degree in Mathematics, Financial Engineering, Physics, or a related field of study, plus one (1) year of experience with quantitative modeling; programming languages (Python, C++, SQL, and R); and/or, machine learning.The salary range is $112,200 - $180,000 annually, based on various factors such as experience, education, skills, internal and external market data, etc.
Minimum Salary: 112200 Maximum Salary: 180000 Salary Unit: Yearly