Summer Student-Mortgage Derivatives Analyst

Getting to Know the Opportunity:

The Mortgage Derivatives Analyst Summer Student will spend time with the Mortgage Derivatives team to streamline and automate mortgage investment processes as well as help to develop systematic trading strategies.

The Contributions You'll Make:

Help to design and programmatically implement a relative value based mortgage backed securities (MBS) trading strategy

Trading color database automation: create daily streamlined process to store trading color throughout the day

Create a batch job to run daily and monthly chart book based on a proprietary database:

Visualize the relative value opportunities within rate and mortgage markets

Display prepayment analysis with a predefined set of cohorts/stories

Create a dashboard to query the various cohorts/stories

Web scraping / data parsing for better design systematic trading strategies:

Parsing emails or messages to get specific data or build a tool to sense the market direction

Scraping certain data from public sources for new alpha design

Preferred Knowledge & Experience:

Actively pursuing a degree in a quantitative discipline, such as math, science, and quantitative finance.

Strong programming skills, ideally with a background in Python, VBA and SQL

Hardworking with an inquisitive mind

Attention to detail

Ability to think independently and handle large data sets

Must be a team player, have excellent problem solving skills and able to work in fast paced environment

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