CAIA's Career Center is an easy-to-use, comprehensive resource connecting job seekers with employers in the growing AI field. Use your knowledge and credibility to advance your career or build a talented team for your organization. Opportunities targeted to CAIA Charterholders are prioritized.
In order to search for jobs specifically for CAIA Charterholders or those pursuing the CAIA Charter please enter “CAIA” in the search panel.
This will enable you to search for CAIA specific roles globally.
The role supports and works directly with the securitized portfolio managers covering RMBS, CMBS, ABS and CMO's.
Work directly on the MBS desk with PM's as an embedded quantitative analyst
Build, run and analyze pre-payment and investment models for rapid decisions
Develop optimal trading strategies across agency MBS markets
Work on portfolio construction models and perform scenario analysis
Work of performance attribution and portfolio risk models
Construct and run optimizations
Develop dynamic sector allocation models
Create data visualizations for the PM's
Analyze and interpret portfolio risk reports
Must have 3+ years of portfolio management experience working as a desk quant with Agency MBS Portfolio management models (Portfolio Construction, Optimization, Scenario Analysis, Risk and Performance Attribution)
Must have an advanced quantitative degree (PhD preferred)
Must have proven experience with Mortgage data, especially Agency CPR models
Experience with statistical model building, sampling, simulations, and optimization
Experience with advanced statistical / econometric / machine learning methods
Must be able to provide rapid analysis to PM's working in a trading room
Must have current and strong programming skills (R, Python, SQL)