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Quantitative Software Developer / Credit Modeler

LibreMax Capital
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Quantitative Software Developer

Company Overview: At LibreMax Capital, an 14 Billion AUM Hedge Fund, we are committed to developing state of the art models and technology, driving our investment and risk management decision making processes. This platform is driven by cutting-edge, cloud-based data & ML solutions. We are looking for a highly motivated and talented Quantitative Software Developer / Credit Modeler with a strong academic background and a passion for data, machine learning and the desire to join a strong, collaborative team.

Responsibilities:

  • This is a hybrid credit modeling / software development role
  • Estimate / develop and enhance credit models in the securitized products (RMBS/CMBS/ABS/CLO) space via data driven credit risk analysis for a 14 Billion Hedge Fund focused in Structured Credit
  • Develop robust/scalable ETL pipelines that can handle very large datasets with data integrity checks to build and maintain credit models
  • Create visual tools for monitoring, back testing and adjusting model performance
  • Develop tools to analyze bid lists, dealer offerings, and new issue deals in the structured credit space with an eye towards automation
  • Collaborate with data scientists, analysts, and other stakeholders to understand data requirements and deliver high-quality data driven solutions

 

Qualifications:

  • BS in Computer Science, Statistics/Data Science, Mathematics, or Financial Engineering degree from a top university.  MS degree preferred
  • 2-3 years’ experience as a research modeler / quant developer in a hedge fund, asset manager, banking, or fintech environment focused on structured products or consumer credit
  • Proven modeling skills in R and Python.  Experience building loan-level credit / prepayment models from data preparation, data analysis, model estimation through deployment into production
  • Experience with generalized regression models as well machine learning frameworks
  • Very strong programming and software design skills (Python, C++) required
  • Very strong SQL and DB skills for creating/maintaining necessary tables for data preparation and analysis
  • Excellent communication skills and ability to work collaboratively in a team environment with a flexible, organized, and driven personality
  • Enthusiastic about leveraging models into the firm’s investment process in the structured credit space (RMBS, CMBS, ABS, CLOs)
  • Knowledge of structured products and/or risk management in a fixed-income environment is required
  • Experience with cloud technologies (Azure, AWS) a plus
  • Experience creating visualization tools for monitoring or model performance adjustment in a modern JS framework (React, Angular) is a plus

What We Offer:

  • Competitive salary and benefits package.
  • A dynamic and inclusive work environment with opportunities for professional growth
  • Access to the latest technologies and tools in the data engineering field.
  • Support for continuous learning and career development.

How to Apply: If you are a creative problem solver and data scientist, passionate about machine learning and building models, and seeing them used to impact a business and meet the qualifications outlined above, we would love to hear from you. Please submit your resume and a cover letter detailing your experience and why you are a great fit for this role.

LibreMax Capital is an equal opportunity employer. We celebrate diversity and are committed to creating an inclusive environment for all employees.