GBM Public, FICCs Mortgage Strats, Analyst, London

What we do

The Mortgage Strats team within the Global Banking & Markets division (GBM) is responsible for pricing, modelling, and risk assessment of various securitized products and whole loan portfolios, as well as developing cutting-edge risk management and cash flow tools using advanced quantitative techniques.

This position sits directly within the Non-Agency Mortgage trading franchise. The desk actively trades and risk-manages a broad spectrum of securitized products, including Non-Agency RMBS, CMBS, CLOs, and esoteric ABS, alongside residential and commercial whole loan portfolios (such as Non-QM, RPL, and NPL).

In this role, you will work directly with trading and structuring desks to deliver tailored solutions for pricing and risk management of securitization products and whole loans, as well as Repurchase Agreements (Repos), Total Return Swaps (TRS), and other warehouse facilities. Key responsibilities include modelling cash flow waterfalls, building prepayment and credit loss projection engines, evaluating portfolio risk, pricing complex collateral pools and building risk management tools. This role offers direct trading-desk exposure and the opportunity to build quantitative tools for a high-volume, multi-asset securitized credit environment.

Your Impact
Mortgage Strats play a critical role in deal structuring, pricing, execution, and risk management. This is a highly visible platform to put quantitative skills and knowledge in use to make a direct impact on business growth. You will gain familiarity with different asset classes while working on various trades and projects and build a broad foundation of product knowledge.
Responsibilities

• Improve existing pricing models and create new ones for securitization products and whole loans using AI and ML technics.

• Understand transaction risks and analyse drivers of profits and losses.

• Provide analysis for new transactions.

• Drive commercial outcomes using data.

• Identify, curate, and integrate new structured and unstructured datasets into models.

• Build end to end solutions from data collection to automated actions.

Who We Look For

• Strong quantitative and coding skills with desire to develop commercial mindset

• Solid work ethics, team oriented, high levels of motivation.

• Ability to work in fast-paced environment and time-sensitive situations.

• Effective communication skills in verbal and writing to both technical and business audience.

Basic Qualifications

• Excellent academic record in a relevant quantitative field such as Mathematics, Physics, Engineering or Computer Science.

• Strong math and quantitative skills

• Experience in object-oriented programming with a language such as C++, Java or Python.

• Knowledge of Stochastic calculus and derivatives pricing, or Machine Learning background

• Knowledge of Mortgage products is preferred.