Manager, Structured Products Modeling

ICE; New York (NY); On-site; USD 165,000 - 187,000; Full time

Benefits offered by this job

Healthcare (medical, dental and vision

401(k) plan

Life insurance

Paid time off

Paid leave for qualifying Circumstanc

Wellness programs

Job summary

Intercontinental Exchange, Inc. (ICE) seeks an experienced quantitative modeller to research, develop, and maintain a broad suite of structured finance models for fixed income securities. Based in New York or Atlanta, you will lead project work for CMO, CLO, CDOs and non-dollar deals.

You will prototype with Python and Excel, leverage Intex where appropriate, and collaborate with remote teams to deliver high-quality functionality and client-ready research.

Qualifications

• Advanced degree in a quantitative field (e.g., mathematics, physics, engineering, finance).
• 5+ years in waterfall modeling and structured deals.
• Strong programming skills in C++, Java or Python with SQL experience.
• Experience with Python or Excel for prototypes; Intex or similar tools preferred.
• Exposure to Monte Carlo simulation and time-series methods is highly desirable.

Responsibilities

• Lead modeling efforts for CMO, US structured deals, CLOs and CDOs.
• Develop quantitative models and risk frameworks for fixed income and derivatives.
• Work with development and QA teams to ensure high-quality releases.
• Support account managers with analytical client needs; some on-site support.
• Assist sales teams with technical insights as required.

Skills

Python

Excel

C++

Java

SQL

Machine learning

Time series analysis

Monte Carlo simulation

Remote collaboration

Education

Advanced degree in quantitative field

Tools

Intex

Job description

Job Purpose

This individual will research, develop, maintain and support a wide variety of structured finance and quantitative models and methodologies for fixed income securities. This position may be based in Atlanta or New York.

Responsibilities

• Lead the modeling effort to support coverage on:
  • CMO and US structured deals
  • European and non-dollar structured deals
  • CLOs, CDOs
• Assist in independent research for the development of quantitative models and risk management framework for fixed income securities, equities and their derivatives with high-quality research papers and presentations for our clients and prospects.
• Work closely with the development team and the quality assurance team to ensure timely releases of the product with enhanced capabilities and the highest quality.
• Support account managers with client related analytical issues. This may require on-site support.
• Support the sales specialists, as needed. This may require on-site support.

Knowledge And Experience

• 5+ years professional experience in the waterfall modeling, nuances, and assumptions used in structured deals.
• Ability to build prototypes for structured deals using Python, Excel or other solutions.
• Preferably experience modeling deals using Intex or other structuring utility.
• Advanced degree in a quantitative field (e.g. mathematics, physics, engineering, and finance).
• Solid programming skills in C++, Java, or Python, with some experience in SQL.
• Advanced training in statistical inference, time series analysis, machine learning, and Monte Carlo simulation is highly desirable.
• Highly motivated. Both a self-starter and a team player. Must be able to work collaboratively and productively in remote environments with teams in other global offices.

Salary and Benefits

The expected base salary for this role, if located in New York, is between $165,000 – $187,000 USD. The base salary range does not include Intercontinental Exchange’s incentive compensation. While we provide this range as general guidance, at ICE we compensate employees based on the skillset and experience of the individual. Regular full-time ICE employees are eligible for a suite of competitive employee benefits, including healthcare coverage (medical, dental and vision), a 401(k) plan, life insurance, time off, and paid leave for qualifying circumstances.

Intercontinental Exchange, Inc. is an Equal Opportunity Employer. All qualified applicants will receive consideration for employment without regard to legally protected characteristics.