full-time
Residential Credit Quantitative Analyst (VP/Director)
Annaly Capital Management
- Employer
- Annaly Capital Management
- Location
- New York
- Working pattern
- hybrid
- Salary
- $180,000–$250,000 / year
About the role
Develop, calibrate, and maintain quantitative models and portfolio analytics for residential credit investments, including non-agency RMBS and whole loans. Analyze borrower behavior and portfolio risks, develop hedging analytics, report on credit trends, validate model performance, and improve data and analytics frameworks with partner teams. Requires at least seven years of quantitative research, desk strategy, or analyst experience supporting fixed-income investing or trading, along with strong mortgage-market knowledge and proficiency in SQL and Python. An advanced degree in a quantitative field is strongly preferred; experience estimating mortgage prepayment and loss models is preferred.