Mortgage Research Quant / Developer

UBS is a leading global financial services firm. Our Investment Bank is one of the world’s top global investment banking and securities firms, providing a full spectrum of products to institutional and corporate clients, intermediaries, government and hedge funds worldwide. By combining your talent and our strengths, we can acheive great results.The role is for a research quant / developer in the Mortgage Core Modeling group. This position will involve creating tools and utilities to structure, model, analyze and hedge Fixed Income securities (primarily mortgage backed securities), and developing analytics, reports, and controls around our models. The candidate will need to be able to diagnose and explain model (term structure, prepayment, credit) behavior.Responsibilities include: Contribute to the support and development of mortgage-related software Involved in all phases of the project lifecycle, from analysis and specification through to testing and deployment Keep colleagues informed of developments; work collaboratively Contribute to recruitment, coaching, and induction of new team members Notify team and management via status and progress reportsPreferred Qualifications:MS or Ph.D. in Comp Science, Math, Engineering or PhysicsWe can offer you an exciting, fast-paced working environment, a culture of mutual respect and teamwork and the opportunity to play a vital role in our growth.If you are attracted to joining an organization where every individual’s contribution counts and where your talent will impact on our future, please apply for this position. It starts with you. Disclaimer / Policy Statements UBS is an equal opportunity employer. We respect and seek to empower each individual and the diverse cultures, perspectives, skills and experiences within our workforce.
REQUIREMENTS
Basic Qualifications:B.S. degree in Computer Science, Math, Physics or Engineering
Experience in Financial Systems
Experience developing term structure models, or applying variance reduction techniques
Experience developing mortgage analytics and trading systems
5+ years experience developing C/C++ systems on a Unix platform (preferably Solaris)
2 years direct experience supporting a mortgage desk
Strong knowledge of Mortgage Backed Securities
Ability to grasp and synthesize key processes and systems
Knowledge of MBS products, CMOs, Pass-thrus, whole loans
Knowledge of MBS pricing models: prepayment, OAS, term structures
C++, Sybase, UNIX, Motif