PGIM Fixed Income - Quantitative Research Specialist, Agency MBS (Finance)
PGIM Fixed Income is a global asset manager offering active solutions across all fixed income markets. The company has offices in Newark, New Jersey, London, Tokyo and Singapore. As of December 31, 2017, the firm has $709 billion of assets under management including $291 billion in institutional assets, $122 billion in retail assets, and $296 billion in proprietary assets. More than 500 institutional asset owners have entrusted PGIM Fixed Income with their assets. PGIM Fixed Income is a United States business operating as a unit within PGIM, Inc. (formerly known as Prudential Investment Management, Inc.) (“PGIM”). PGIM is the largest investment adviser within Prudential Financial, Inc. (“PFI”). As of September 30, 2017, PGIM had $1.1 trillion in assets under management across their real estate, equity, public fixed income, and private fixed income businesses and is ranked 9th among IPE's top 400 asset managers.
PGIM Fixed Income is looking for an Quantitative Research Specialist with agency mortgage-backed securities modeling experience to join the Quantitative Research and Modeling (QRM) Group. QRM is a close-knit group of highly technical and motivated individuals operating in a cooperative environment. The group works closely with the rest of the investment organization in a variety of roles including the valuation of complex derivative products, production of relative value models used by trading desks, and development of Fixed Income's proprietary risk model.
Maintaining and enhancing PFI's proprietary agency MBS valuation and prepayment models
Creating tools for portfolio managers to utilize in investment decision making process
Manage the interaction between the MBS portfolio managers and QRM
Serving as a mortgage market expert resource throughout the organization
A successful candidate should possess:
3+ years work experience in quantitative software development using C++
Experience building prepayment models for the agency MBS market
Advanced degree (MS, MA, or PhD) in a quantitative field (science, math, finance or engineering). CFA a plus. Combination of intellectual rigor and ability to put tools into production
Demonstrated leadership qualities
Ability to works well as part of a team and enjoy a fast paced, high intensity environment