Senior Quantitative Developer, Structured Credit

Clearwater Analytics; New York (NY); Presencial; USD 156 000 - 211 000; Tempo integral

Vantagens oferecidas por esta oferta de emprego

Health insurance

401(k)

PTO

Parental leave

Medical leave

Work from anywhere 3 weeks a year

Work from home Fridays

Resumo da oferta

Clearwater Analytics seeks a Senior Quantitative Developer for Securitized Products in New York. You will develop pricing libraries, risk analytics, and cash flow models for ABS, CLO, MBS, and CMBS, working with cross-functional teams and clients to deliver robust valuation capabilities.

You will implement and maintain risk analytics (DV01, duration, convexity, scenario analysis) and design prepayment/default models, contributing to production-grade systems and documentation for both technical

Qualificações

• Proficient Python development with production-quality code.
• Strong understanding of securitized products mechanics and waterfall logic.
• Experience with cash flow modeling and risk analytics for ABS/MBS/CLO.
• Familiarity with PSA/CPR prepayment modeling and credit risk frameworks.
• Ability to communicate complex topics to technical and non-technical audiences.

Responsabilidades

• Develop and maintain pricing libraries and models for securitized products (ABS, CLO, MBS, CMBS).
• Build and extend platform frameworks for securitized product lifecycle management and analytics.
• Implement risk analytics covering DV01, duration, convexity, spread risk, and stress testing.
• Design models for prepayment, default, and loss severity calibrated to market conventions.
• Collaborate with cross-functional teams and interact with clients to tailor solutions and document work.

Conhecimentos

Python

Structured products

Cash flow modeling

PSA/CPR

Client interaction

Front office exposure

Ferramentas

Bloomberg

Intex

Trepp

MSCI

Descrição da oferta de emprego

Clearwater Analytics seeks a Senior Quantitative Developer for Securitized Products in New York. You will develop pricing libraries, risk analytics, and cash flow models for ABS, CLO, MBS, and CMBS, working with cross-functional teams and clients to deliver robust valuation capabilities.

You will implement and maintain risk analytics (DV01, duration, convexity, scenario analysis) and design prepayment/default models, contributing to production-grade systems and documentation for both technical