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About the Role
GSA concentrates Deutsche Bank's quantitative and modeling expertise within a single unit, with group-wide responsibility for model development. This role will support the Agency RMBS and CMO business, partnering closely with Trading, Structuring, and Technology to develop and enhance mortgage analytics within the strategic Kannon platform. The successful candidate will contribute to the development of pricing, risk, prepayment, and cashflow analytics used across the mortgage trading desk.
Responsibilities
- Develop and enhance pricing, risk, cashflow, and valuation analytics for Agency RMBS, CMOs, specified pools, TBAs, and related mortgage-backed securities within the strategic Kannon platform
- Partner closely with Trading, Structuring, Technology, and Operations to deliver scalable quantitative solutions supporting mortgage trading, risk management, and portfolio optimization
- Design and implement mortgage analytics, including prepayment modeling, option-adjusted spread (OAS) analytics, scenario analysis, relative value frameworks, and hedge effectiveness measures
- Build and maintain mortgage market data infrastructure covering securitized product reference data, valuation parameters, prepayment assumptions, curve and volatility inputs
- Develop innovative quantitative tools and models that help improve trading decisions, risk attribution, P&L explain, and market opportunity identification across the mortgage business
- Contribute to the strategic evolution of the platform by mentoring junior team members, promoting best development practices, and driving collaboration across quantitative, trading, and technology teams
Requirements
- Multiple years of experience supporting Agency RMBS, CMOs, mortgage derivatives, within a front office or quantitative environment
- Experience in developing and implementing quantitative models, pricing libraries, and risk analytics used by mortgage trading desks
- Ability to manage multiple priorities in a fast-paced front-office environment
Skills
- Strong object-oriented programming skills in C++ and Python
- Experience in developing and supporting large-scale production analytics platforms
- Strong understanding of mortgage-backed security valuation, cashflow modeling, prepayment behavior, OAS analytics, and mortgage risk management
- Excellent analytical, problem-solving, communication, and organizational skills
- Previous experience as a Quantitative Strategist, Quant Developer, or Front Office Strats professional supporting securitized mortgage products, especially Agency RMBS, CMOs, and mortgage derivatives
- Strong knowledge of mortgage market structure, including TBA trading, specified pools, CMO structuring, mortgage risk management, and trading workflows
- Experience with prepayment modeling, OAS analytics, Monte Carlo simulation, term structure models, and other fixed income quantitative techniques
- Academic background in Financial Engineering, Quantitative Finance, Mathematics, Physics, Computer Science, or a related quantitative discipline
- Ability to work across both quantitative analytics and user-facing applications
- Strong understanding of risk attribution, P&L explain, and front-office decision-making
- Ability to translate complex quantitative concepts into practical solutions for trading and risk management
Location
- New York, NY
Work Type
- Hybrid
- Full-time
Experience Level
- Vice President - Director
Education Level
- Academic background in Financial Engineering, Quantitative Finance, Mathematics, Physics, Computer Science, or a related quantitative discipline
Salary/Compensations
- $155,000 to $325,500
Benefits
- Generous vacation, personal and volunteer days
- Employee Resource Groups support an inclusive workplace for everyone and promote community engagement
- Competitive compensation packages including health and wellbeing benefits, retirement savings plans, parental leave, and family building benefits
- Educational resources, matching gift and volunteer programs
- Access to physical, emotional, and financial wellness benefits
About the Company
- We strive for a culture in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative and working collaboratively.
- Together we share and celebrate the successes of our people. Together we are Deutsche Bank Group.
Equal Opportunity
- Qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, protected veteran status or other characteristics protected by law.