FactSet: Quantitative Researcher, Non-agency Mortgages

Seeking a candidate to help establish FactSet as a market leader in Fixed Income analytics through original research, publishing in academic journals and timely integration of this research into FactSet applications.

Company: FactSet
Location: New York, NY | Boston, MAFactSet
Web: www.factset.com
Position: Quantitative Researcher, Non-agency Mortgages

Email Jenny.saxton@factset.com.

FactSet (NYSE:FDS | NASDAQ:FDS) delivers superior analytics, service, content, and technology to help more than 85,000 users see and seize opportunity sooner. We are committed to giving investment professionals the edge to outperform, with fresh perspectives, informed insights, and the industry-leading support of our dedicated specialists. We're proud to have been recognized with multiple awards for our analytical and data-driven solutions and repeatedly ranked as one of Fortune's 100 Best Companies to Work For and a Best Workplace in the United Kingdom and France.

The Analytics SBU is responsible for the strategy, execution and development of products that will establish FactSet as the premier technology partner for the Analytics investment community. The FactSet Research group is currently looking to fill the position of Quantitative Researcher to oversee non-agency mortgage prepayment and loss research.  

The research team is responsible for defining, establishing and maintaining the quality of the analytics delivered to clients via the FactSet workstation, applications and data feeds.  The successful candidate will establish FactSet as a market leader in Fixed Income analytics through original research, publishing in academic journals and timely integration of this research into FactSet applications.  To achieve this, strong communication between Research, Product Development, Engineering and Sales specialists is essential.  

This position will report to the director of Fixed Income and Derivatives Research.  


  • Set the research direction for non-agency mortgage backed securities
  • Perform cutting edge research on non-agency mortgage prepayment and loss models
  • Collaborate with fixed income, derivative and risk researchers, product development and engineering to implement research in the FactSet workstation
  • Communicate research and model improvements to the market
  • Stay informed on market developments in non-agency, fixed income markets and regulatory changes


  • Masters Degree or PhD in a quantitative discipline (engineering, math, physics, statistics) with 2+ years work experience or a Bachelors with 5+ years work experience
  • Knowledge of applied math and statistics
  • Deep knowledge of fixed income mathematics, with a focus on analysis of agency or non-agency mortgages and a familiarity with other securitized products
  • Knowledge of pre- and post-crisis deal structures, loan types, underwriting standards, etc.
  • Knowledge of non-agency data sources and tools (CoreLogic, Intex, etc.)
  • Strong knowledge of an object-oriented programming language
  • Experience using python, MATLAB or similar
  • Meticulous and detail-oriented
  • Excellent verbal communication skills
  • Good to have experience with a database querying tool, FactSet products and a familiarity with derivatives

To find out more about opportunities at FactSet, visit us at www.factset.com/careerswww.facebook.com/factset, or www.twitter.com/factset.

The contractor will not discharge or in any other manner discriminate against employees or applicants because they have inquired about, discussed, or disclosed their own pay or the pay of another employee or applicant. However, employees who have access to the compensation information of other employees or applicants as a part of their essential job functions cannot disclose the pay of other employees or applicants to individuals who do not otherwise have access to compensation information, unless the disclosure is (a) in response to a formal complaint or charge, (b) in furtherance of an investigation, proceeding, hearing, or action, including an investigation conducted by the employer, or (c) consistent with the contractor’s legal duty to furnish information.

FactSet Research Systems Inc. is an E-Verify participant and EOE/M/F/D/V Employer which strongly supports diversity in the workforce.