New York, New York
The Bloomberg Structured Products team is responsible for all data, cash flows and analytics for the two million plus bonds that comprise the structured products universe. We own some of Bloomberg’s largest databases, highest hit services, most comprehensive cash flow model libraries, and most complex analytic tools and valuation screens. Our products support Bloomberg’s industry leading fixed income indices, security valuation services, portfolio management and trading platforms, as well as the daily workflow of countless traders, portfolio managers and research analysts.
Who we are:
The Bloomberg Structured Products Quantitative Research Team
We strive to create best-in-class predictive and economic models for the US Agency MBS/CMBS, US Residential Non-Agency, Credit Risk Transfer (CRT), Auto ABS and Japanese MBS markets in conjunction with a comprehensive suite of daily analytics reports, model surveillance reports, whitepapers, specified pool cohorts, and valuation tools. We aim to provide timely model updates that incorporate the latest prepayment and credit trends along with market developments, while allowing clients the ability to fully customize their user experience with a comprehensive and intuitive set of model overrides. We strive to continually improve our valuation and surveillance platform by maintaining an ongoing, open dialogue with the entire community of traders, portfolio managers, regulators, and mortgage agencies that incorporate our models into their daily workflow as well as internal partners such as Index/PORT, BVAL, MARS, NEWS and BI.
We are an enthusiastic, talented team of quants who work side by side with product managers, developers, and many other engineering groups. Our teams develop models that forecast cash flows for a variety of Agency, Non-Agency and ABS securities, produce valuation metrics used to determine relative value, and develop risk analytics used to quantify market risk for hedging and return attribution.
We continually enhance our models to stay in sync with evolving market dynamics and government policies, as well as expand model coverage for new product types.
Our current Agency MBS projects include the development of a loan-level agency prepayment model, a new prepayment model for the GNMA project loan sector, and the development of a monthly agency prepayment publication and webinar series.
Our current residential credit projects include the reestimation of credit models used to value RMBS 2.0/3.0 and Non-QM securities, the expansion of our valuation platform to include user specified whole loan portfolios, and various other initiatives in the non-agency, credit risk transfer, securitized mortgage insurance and consumer auto sectors.
Other projects include updates to our mortgage rate models and the development of a new home price model.
Who you are:
An innovative quantitative research analyst with a strong interest in financial markets. Someone who cares about the impact of their work and enjoys working with large datasets, conducting regression analysis, building analytic valuation tools, and supporting our clients. You enjoy collaborating and working closely with other people. You’re a problem solver, eager to learn, and have a strong interest in the structured products domain.
As part of this team we’ll trust you to:
Work collaboratively with product owners to build new predictive models
Enhance existing models to reflect evolving market dynamics, changes in mortgage underwriting, and to expand model coverage
Create analytical tools and reports that help clients track collateral performance, quantify market risk, and assess relative value
Contribute to whitepapers, published reports, and webinars
Help the team evolve and operate on a day to day basis
You’ll need to have:
Strong experience within the Agency MBS sector and/or residential credit markets
3+ years of professional experience building and maintaining predictive prepayment and/or credit models
Strong quantitative, analytical and problem solving skills
Experience working with large data sets and conducting regression analysis
Proficiency in SAS or equivalent, Excel, Linux/windows environments
Excellent verbal and written communication and interpersonal skills
BA/BS in Mathematics, Statistics, Economics, or other quantitative field
We’d love to see:
MS or PhD in Mathematics, Statistics, Economics, or other quantitative field
A passion for financial markets
Bloomberg is an equal opportunity employer, and we value diversity at our company. We do not discriminate on the basis of age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or maternity/parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.
Bloomberg is a disability inclusive employer. Please let us know if you require any reasonable adjustments to be made for the recruitment process. If you would prefer to discuss this confidentially, please email
Salary Range: 155,000 – 285,000 USD Annually + Benefits + Bonus
The referenced salary range is based on the Company’s good faith belief at the time of posting. Actual compensation may vary based on factors such as geographic location, work experience, market conditions, education/training and skill level.
We offer one of the most comprehensive and generous benefits plans available and offer a range of total rewards that may include merit increases, incentive compensation Exempt roles only , paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) +match, life insurance, and various wellness programs, among others. The Company does not provide benefits directly to contingent workers/contractors and interns.