Quant jobs / Deutsche Bank

Quantitative Strategist – Rates (Agency RMBS and CMO)

A vice-president to director strat supporting the agency mortgage-backed securities and CMO desk. It builds mortgage pricing, risk and cashflow analytics inside the bank's strategic analytics platform.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Extend pricing, cashflow and valuation analytics for agency RMBS, CMOs, specified pools and TBAs
Implement prepayment models and OAS analytics
Build mortgage market data and reference data tooling
Add scenario analysis and hedge-effectiveness tools
Mentor junior members and set coding standards

What they ask for

Required

C++ and Python on large production analytics platforms
Several years supporting agency RMBS/CMO in a front-office or quant setting
MBS valuation, cashflow and prepayment understanding
OAS analytics and mortgage risk
Pricing library and risk analytics development
Strong organisation and communication

Preferred

Monte Carlo and term-structure models
TBA and CMO structuring knowledge
P&L explain and risk attribution
Financial engineering, maths, physics or CS background

Education: Financial engineering, quantitative finance, maths, physics or CS background is helpful
Experience: Multiple years supporting agency RMBS or CMOs in a front-office or quantitative environment
Languages and tools: C++
Python
Markets: fixed-income

How to prepare

Learn how agency MBS cashflows, prepayment speeds and TBA trading work
Build a simple prepayment model and run an OAS calculation with Monte Carlo short rates
Study term-structure models such as Hull-White or LMM for mortgage options
Write a C++ cashflow engine with a Python wrapper and tests

What to study

The Rates Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Deutsche Bank’s site before applying: requirements, location and pay can change after we check them.

View the posting on Deutsche Bank’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Deutsche Bank and doesn’t handle applications.