Job Title: Quantitative Strategist - Rates
Corporate Title: Vice President - Director
Location: New York, NY
[ALL ROLES TO BE CONSIDERED]
Overview
GSA concentrates Deutsche Bank's quantitative and modeling expertise within a single unit. With group-wide responsibility for model development, GSA takes a cross-business and cross-functional approach to solving quantitative analytics challenges and establishing common development standards across the bank.
This role will support the Agency RMBS and CMO business, partnering closely with Trading, Structuring, and Technology to develop and enhance mortgage analytics within the strategic Kannon platform. The successful candidate will contribute to the development of pricing, risk, prepayment, and cashflow analytics used across the mortgage trading desk, delivering intraday and end-of-day risk, valuation, and P&L information for securitized products.
What We Offer You
- A diverse and inclusive environment that embraces change, innovation, and collaboration
- A hybrid working model, allowing for in-office / work from home flexibility, generous vacation, personal and volunteer days
- Employee Resource Groups support an inclusive workplace for everyone and promote community engagement
- Competitive compensation packages including health and wellbeing benefits, retirement savings plans, parental leave, and family building benefits
- Educational resources, matching gift and volunteer programs
What You’ll Do
- Develop and enhance pricing, risk, cashflow, and valuation analytics for Agency RMBS, CMOs, specified pools, TBAs, and related mortgage-backed securities within the strategic Kannon platform
- Partner closely with Trading, Structuring, Technology, and Operations to deliver scalable quantitative solutions supporting mortgage trading, risk management, and portfolio optimization
- Design and implement mortgage analytics, including prepayment modeling, option-adjusted spread (OAS) analytics, scenario analysis, relative value frameworks, and hedge effectiveness measures
- Build and maintain mortgage market data infrastructure covering securitized product reference data, valuation parameters, prepayment assumptions, curve and volatility inputs
- Develop innovative quantitative tools and models that help improve trading decisions, risk attribution, P&L explain, and market opportunity identification across the mortgage business
- Contribute to the strategic evolution of the platform by mentoring junior team members, promoting best development practices, and driving collaboration across quantitative, trading, and technology teams
How You’ll Lead
- Clear communication with Trading, Risk and Valuation Control, Research, and Technology
- Team-oriented, attentive to detail, self-starting, enthusiastic work habits
- Contribute to the strategic direction and evolution of the platform
Skills You’ll Need
- Strong object-oriented programming skills in C++ and Python, with experience in developing and supporting large-scale production analytics platforms
- Multiple years of experience supporting Agency RMBS, CMOs, mortgage derivatives, within a front-office or quantitative environment
- Strong understanding of mortgage-backed security valuation, cashflow modeling, prepayment behavior, OAS analytics, and mortgage risk management
- Experience in developing and implementing quantitative models, pricing libraries, and risk analytics used by mortgage trading desks
- Excellent analytical, problem-solving, communication, and organizational skills, with the ability to manage multiple priorities in a fast-paced front-office environment
Skills That Will Help You Excel
- Previous experience as a Quantitative Strategist, Quant Developer, or Front Office Strats professional supporting securitized mortgage products, especially Agency RMBS, CMOs, and mortgage derivatives
- Strong knowledge of mortgage market structure, including TBA trading, specified pools, CMO structuring, mortgage risk management, and trading workflows
- Experience with prepayment modeling, OAS analytics, Monte Carlo simulation, term structure models, and other fixed income quantitative techniques
- Academic background in Financial Engineering, Quantitative Finance, Mathematics, Physics, Computer Science, or a related quantitative discipline, with the ability to work across both quantitative analytics and user-facing applications
- Strong understanding of risk attribution, P&L explain, and front-office decision-making, with the ability to translate complex quantitative concepts into practical solutions for trading and risk management
Expectations
It is the Bank’s expectation that employees hired into this role will work in the New York City office in accordance with the Bank’s hybrid working model.
Deutsche Bank provides reasonable accommodations to candidates and employees with a substantiated need based on disability and/or religion.
The salary range for this position in New York City is $155,000 to $325,500. Actual salaries may be based on a number of factors including, but not limited to, a candidate’s skill set, experience, education, work location and other qualifications. Posted salary ranges do not include incentive compensation or any other type of remuneration.
Deutsche Bank Benefits
At Deutsche Bank, we recognize that our benefit programs have a profound impact on our colleagues. That’s why we are focused on providing benefits and perks that enable our colleagues to live authentically and be their whole selves, at every stage of life. We provide access to physical, emotional, and financial wellness benefits that allow our colleagues to stay financially secure and strike balance between work and home. Click here to learn more!
Learn more about your life at Deutsche Bank through the eyes of our current employees: https://careers.db.com/life
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We strive for a culture in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative and working collaboratively.
Together we share and celebrate the successes of our people. Together we are Deutsche Bank Group.
We welcome applications from all people and promote a positive, fair and inclusive work environment.
Qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, protected veteran status or other characteristics protected by law. Click these links to view Deutsche Bank’s Equal Opportunity Policy Statement and the following notices: EEOC Know Your Rights; Employee Rights and Responsibilities under the Family and Medical Leave Act; and Employee Polygraph Protection Act.
Skills Required
- Strong object-oriented programming skills in C++ and Python
- Multiple years of experience supporting Agency RMBS, CMOs, or mortgage derivatives in a front-office or quantitative environment
- Strong understanding of mortgage-backed security valuation, cashflow modeling, prepayment behavior, OAS analytics, and mortgage risk management
- Experience developing and implementing quantitative models, pricing libraries, and risk analytics for mortgage trading desks
- Excellent analytical, problem-solving, communication, and organizational skills
- Experience as a Quantitative Strategist, Quant Developer, or Front Office Strats professional supporting securitized mortgage products
- Knowledge of mortgage market structure, TBA trading, specified pools, CMO structuring, mortgage risk management, and trading workflows
- Experience with prepayment modeling, OAS analytics, Monte Carlo simulation, and term structure models
- Academic background in Financial Engineering, Quantitative Finance, Mathematics, Physics, Computer Science, or a related quantitative discipline
- Strong understanding of risk attribution, P&L explain, and front-office decision-making
Deutsche Bank Compensation & Benefits Highlights
The following summarizes recurring compensation and benefits themes identified from responses generated by popular LLMs to common candidate questions about Deutsche Bank and has not been reviewed or approved by Deutsche Bank.
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Healthcare Strength — Health coverage is positioned as comprehensive, spanning multiple medical plan options along with dental, vision, prescription coverage, life insurance, and disability protection.
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Leave & Time Off Breadth — Time away is described as generous, including annual leave, sick leave, public holidays, wellbeing leave, volunteering leave in some regions, and expanded bereavement leave in certain locations.
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Retirement Support — Retirement support is presented as a matched savings plan (401(k)), reinforcing longer-term financial security as part of the rewards package.
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