Fixed Income Desk Quant – Mortgage Backed Securities
T. Rowe Price
- Baltimore, MD
- Permanent
- Full-time
- Support portfolio managers’ investment process by conducting quantitative analyses incorporating with their investment views
- Develop quantitative model-based alpha signals in macro and security level to recommend potential investment opportunities to portfolio managers
- Analyze how to best implement trades in terms of instrument types, optimal sizes, risks, etc. consolidated with the current holdings via optimization process
- Create security level or sector level RV framework to assist in the portfolio management process
- Analyze and interpret portfolio risk and attribution. Perform scenario analyses and other portfolio level testing
- Examples of model/trade types include, but not limited to directional views, market neutral relative value, portfolio optimization, risk budget, effective hedging, etc.
- Responsible for the production and implementation of FI quantitative models
- Partner with the Technology organization to productionize developed quantitative models
- Collaborate with the research and investment teams to conceptualize new investment approaches
- Provide analytical support to sales pitches, client meetings, product development efforts as needed
- Master’s degree in physical sciences, engineering, mathematics, or financial engineering
- Expert knowledge of agency and non-agency mortgage backed securities. Extensive experience in quantitative analysis and/or management of MBS portfolios.
- Proficiency in statistics and numerical analysis; comprehensive understanding of financial mathematics and portfolio concepts
- Prior experience in fixed-income asset management, specifically in quantitative research
- Experience working directly with Portfolio Managers and Traders on quantitative investment strategies
- Ability to program in analytic languages (R. Python, etc.) and work with databases
- History of establishing rapport and working collaboratively with investors. Demonstrated ability to influence stakeholders and lead teams
- Ability to work independently on projects.
- Successful candidate will be highly motivated and detail-oriented
- Ability to master complex tasks with minimal supervision
- Ability to communicate ideas effectively and solve problems creatively
- Competitive pay and bonuses as well as a generous retirement plan and employee stock purchase plan with matching contributions
- Flexible and remote work opportunities
- Health care benefits (medical, dental, vision)
- Tuition assistance
- Wellness programs (fitness reimbursement, Employee Assistance Program)