ABS at AQR Capital Management

New York, New York, United States

Apply Now

Not SpecifiedCompensation

Senior (5 to 8 years), Expert & Leadership (9+ years)Experience Level

Full TimeJob Type

UnknownVisa

Alternative Investments, Asset Management, Real Estate, CreditIndustries

Requirements

10+ years of experience working in an RMBS/ABS/mortgage prepayment and default modeling capacity
Ideally, an Advanced degree (Masters/PhD) in Physics, Computer Science, Engineering, Mathematics, or Statistics
Strong preference for candidates with Sell-side or Asset management experience and direct familiarity with capital markets/portfolio management and deal structuring
Strong understanding of securitization

Responsibilities

Work closely with the investment team on developing investment thesis and execution strategy
Develop quantitative analysis/models for data across RMBS/ABS/consumer assets such as personal/auto/student loans/solar loans
Partner with traders, programmers, controllers, and risk managers
Develop statistical models and analyze prepayment/default behavior for ABS and mortgage related assets
Work on developing new products and risk models
Manage monitoring and research related to mortgage model performance and the all-end implementation and testing of and research into the group’s internal and vendor pricing models

Skills

RMBS

ABS

Quantitative Modeling

Statistical Modeling

Prepayment Modeling

Default Modeling

Data Analytics

Risk Modeling

Pricing Models

Mortgage Modeling

AQR Capital Management

Global investment management firm offering diversified strategies

About AQR Capital Management

AQR Capital Management provides investment management services with a focus on technology, data, and behavioral finance. The firm offers a variety of investment strategies that are based on a consistent set of principles, aiming to achieve long-term and repeatable results. AQR works primarily with institutional investors such as pension funds, insurance companies, and sovereign wealth funds, as well as financial advisors and their clients. Their investment approach combines both qualitative and quantitative methods to carefully design and test investment models. AQR differentiates itself by applying systematic and well-thought-out investment solutions that enhance portfolio construction, risk management, and trading. The company's goal is to deliver value through effective asset management while generating revenue from management and performance fees on the assets they oversee.

Greenwich, ConnecticutHeadquarters

1998Year Founded

VENTURE_UNKNOWNCompany Stage

Quantitative Finance, Financial ServicesIndustries

501-1,000Employees

Benefits

Health Insurance

Dental Insurance

Vision Insurance

401(k) Retirement Plan

Paid Vacation

Risks

Increased competition from quantitative firms may erode AQR's market share.

The rise of passive strategies like ETFs could impact demand for AQR's services.

Regulatory scrutiny on quantitative trading could increase compliance costs for AQR.

Differentiation

AQR integrates financial theory with practical application for superior investment results.

The firm uses quantitative tools to process fundamental information and manage risk.

AQR's systematic approach aligns with the growing trend of factor investing.

Upsides

AQR can leverage ESG factors in their quantitative models to meet rising demand.

Machine learning advancements enhance AQR's data analysis and predictive modeling capabilities.

AQR can capitalize on personalized investment solutions with their quantitative tools.

Land your dream remote job 3x faster with AI

Try Jobo Free