Millennium’s FI Risk team is looking for a Structured Product Quant/Strat. This person will work with the existing risk and technology teams to build default and loss curves by leveraging available structured product models and historical data across the fund’s various structured product types.

Qualifications:

• 5-10 years of experience in Structured Product Analytics / Risk (preferably Front Office Risk) / Trading at a sell or buy-side firm
• Comprehensive knowledge of structured products including non-agency RMBS, CMBS, CMBX, CRT, CLO, ABS, ABF, MSR, residential whole loans, commercial loans, student loans and consumer loans
• Deep understanding of product-specific model assumptions, analytics outputs, and relevant data sources for historical pricing and market data
• Advanced skills in constructing historical pricing time series (spreads, prices, etc.) and conducting historical P&L and stress simulations based on such datasets
• Demonstrated proficiency with large datasets, including data cleaning and verification using SQL, Excel and Python
• Strong hands-on experience building complex data analytics prototypes in Excel, developing specifications and performing user testing post-implementation. Experience in writing production-level code is a plus.
• Proven track record of managing risk technology development resources and solving problems
• Strong interpersonal skills, with the ability to communicate with senior leaders including management and Portfolio Managers
• High sensitivity to details and strong sense of urgency, and strong organizational skills. Ability to reason through and solve open ended questions

The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.