||Top 5 bank Capital Markets team manages the interest rate and operational risks associated with the origination, sale and servicing of mortgage loans, and provides liquidity for the mortgage assets originated.
The senior quantitative modeler will be in charge of developing prepayment and default behavior models for agency and non-agency mortgages. A successful candidate must have strong expertise as a prepayment modeler, be familiar with Agency and Non-Agency Database and be familiar with Residential Mortgage-Backed Securities (RMBS) valuation, OAS framework and risk analysis.
Key duties and responsibilities of this position include, but may not be limited to:
• Design, estimate, implement, test, document and maintain statistical models for prepayment, default, loss severity forecasting, HPI forecasting of agency and non-agency mortgages
• Developing model performance metrics like statistical back tests or P&L explanation analysis
• Handle and evaluate extensive varied database from multiple internal and external sources
• Deliver business-oriented communications for internal and external counterparts
• Interacting with regulators on high visibility models in order to resolve regulatory MRAs (Matters Requiring Attention).
• 4+ years of experience in an advanced scientific or mathematical field
• A master’s degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science
• 4+ years of quantitative development experience
• Strong experience in developing and building prepayment and default models.
• Demonstrated experience in handling mortgage database (1010/embs/loan performance corelogic)
• Solid understanding of financial mathematics and models including, OAS framework, Monte Carlo simulation, LMM model, (exotic) interest rate derivatives models and mortgage analytics
• Perfect command of SAS/R or Python and SQL and relational database. Strong experienced in C++/VBA.
• Ability to communicate across multiple audiences (Technology, Quants, Senior Management)
• An impeccable reputation for integrity, accuracy, consistency, big picture orientation and business acumen