Senior Quantitative Engineer II

dv01 is lifting the curtain on the largest financial market in the world: structured finance. The $16+ trillion market is the backbone of everyday activities that empower financial freedom, from consolidating credit card debt and refinancing student loans, to buying a home and starting a small business. 

dv01’s data analytics platform brings unparalleled transparency into investment performance and risk for lenders and Wall Street investors in structured products. As a data-first company, we wrangle critical loan data and build modern analytical tools that enable strategic decision-making for responsible lending.  In a nutshell, we're helping prevent a repeat of the 2008 global financial crisis by offering the data and tools required to make smarter, data-driven decisions resulting in a safer world for all of us.  

More than 400 of the largest financial institutions use dv01 for our coverage of over 75 million loans spanning mortgages, personal loans, auto, buy-now-pay-later programs, small business, and student loans. dv01 continues to expand coverage of new markets, adding loans monthly, and developing new technologies for the structured products universe.

To get a better idea of what a year at dv01 looks like, check out our 2022 Year in Review page here: https://dv01.co/year-in-review/2022/ If that looks like fun to you, get in touch because we'd love to hear from you.

You will own portions of the collateral and securitization cashflow engine backend written in Scala. This includes code maintenance and expanding the cashflow engine to support new features and asset classes.

Senior Quantitative Engineer II (New York, NY)

Serve as the internal and external interface to the Quantitative Engineering Team. Improve and maintain the backend cashflows engine of dv01's web application. Implement new features to allow flexibility to support new securitizations and collateral types. Build different waterfall distribution models for various Asset-Backed Security (ABS) deals. Maintain the loan cashflows generator to forecast loan monthly payments. Validate cashflows output against offering memoranda, trustee reports and client provided calculations. Calculate non-loan data related to securitizations, including excess spread and credit enhancement. Support teams with waterfall-related issues. Support clients and Securitization Teams in cashflows calculation. Develop internal tools for other teams to better implement cashflows engine. Train junior members of the team. Supervise a Junior Quantitative Engineer. 40 hrs/wk, $170,000 - $200,000/yr. 

Must possess a Master's degree or foreign equivalent in Mathematical Finance, Quantitative Finance, Finance, Data Analytics, or related field, plus two (2) years of experience in a quantitative engineer or quantitative developer role in the financial services and/or data analytics industry. Must have experience: analyzing securitization documents; modeling loan payment; working with Asset-Backed Securities (ABS); developing and maintaining models to support decision-making; applying modeling and validation methodologies; modeling complex structured finance transactions; and building risk models. Must have experience with the following tools/skills/technologies: Scala, R, Python, JavaScript, C#, Machine Learning, SQL, BigQuery, MS Office, Bloomberg, Structured Finance, Asset-Backed Securities (ABS).

Apply on website or submit resumes to Fred Leong: [email protected] & Leo Rosa: [email protected]

dv01 is an equal opportunity employer and all qualified applicants and employees will receive consideration for employment opportunities without regard to race, color, religion, creed, sex, sexual orientation, gender identity or expression, age, national origin or ancestry, citizenship, veteran status, membership in the uniformed services, disability, genetic information or any other basis protected by applicable law.