Quantitative Developer - Securitized Products
Clearwater Analytics2 months ago
New York, NY, USAEntry Level / Mid Level
Base Salary
$156k - $211k/yr
Responsibilities
- Develop and maintain pricing libraries and analytical models for ABS, CLO, MBS, CMBS, and other structured credit instruments.
- Build and maintain platform frameworks for securitized-product lifecycle management, cash-flow generation, prepayment modeling, credit enhancement structures, and tranche-level analytics.
- Implement risk analytics for DV01, duration, convexity, spread risk, scenario analysis, and stress testing across structured-product portfolios.
- Design and calibrate prepayment, default, and loss-severity models to market conventions and client-specific requirements.
- Identify new models and design patterns to improve the platform’s structured-products infrastructure.
- Produce technical and non-technical documentation and collaborate with developers and clients on production solutions.
Requirements
- 1–3 years of quantitative development experience focused on securitized or structured products.
- Strong understanding of structured-product mechanics, including deal structures, waterfall logic, cash-flow prioritization, credit enhancement, and tranche-level risk.
- Familiarity with prepayment models such as PSA and CPR and credit-risk frameworks for ABS, MBS, CMBS, and CLO structures.
- Experience developing production-quality code, preferably in Python, with a strong software-engineering foundation.
- Strong problem-solving and communication skills, including the ability to explain technical topics to technical and non-technical audiences.
- Preferred: front-office or structured-products development experience supporting valuation, risk analytics, or portfolio analytics.
- Preferred: experience building or maintaining production pricing and risk systems.
- Preferred: familiarity with Bloomberg, Intex, Trepp, MSCI, or similar market-data and reference-data sources.
- Preferred: experience with interest-rate modeling such as Hull-White and short-rate models.
- Preferred: prior direct client experience customizing platforms, integrating models, or developing technical solutions.
Benefits
- Flexible working environment with work from home Fridays and the ability to work from anywhere three weeks per year.
- Medical, dental, vision, and life insurance benefits.
- Maternity and paternity leave, PTO, Volunteer Time Off, and medical leave.
- Short-term and long-term disability insurance benefits.
- 401(k) with company match, RSUs, and an employee stock purchase plan.
- Business-casual, team-focused culture with defined and undefined career pathways.