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Quantitative Analyst - Mortgage and Rates Pricing Modeler

Location
New York
Job Type
Permanent
Posted
8 Sep 2022

Responsibilities

Develop and enhance mortgage pre-payment, default, risk, and pricing models for RMBS, Mortgage-Backed investments, and the bank's MSR business

Work on a team that is migrating mortgage, MSR, and interest rate pricing and risk models from 3rd party vendor products to building state-of-the-art internal proprietary models

Develop loan origination and pricing models

Develop production quality ETL and data integrity processes to build and maintain pre-payment and pricing models

Create visual tools for monitoring and adjusting model performance

Develop tools to run and analyze bid lists, dealer offerings, and new issue deals for RMBS

This is a hybrid modeling/development role

Requirements

MS or Ph.D. degree in Statistics/Data Science, Computer Science, Mathematics, or Financial Engineering from a top university

Strong statistical development skills in Python/R/C++/C#/SQL

Experience working with 3rd party mortgage valuation, pre-payment, and default models and products (QRM, Yield Book, Polypaths, MIAC, Algorithmics)

Experience working with mortgage databases (1010/eMBS/,Loan Performance -Core Logic)

Experience with statistical models such as linear and non-linear regression, logistic regression, and generalized linear models.

5+ years of Industry exposure to fixed income valuation and risk management. Exposure to structured credit (RMBS, CLOs, CMBS, ABS)

Self-motivated, organized, driven individual with excellent communication skills

Open, flexible personality that works well with a team

Knowledge of cloud computing technology a plus

Key Words: Mortgage Pricing, R, Python, Credit, Modeling, RMBS, CLOs, CMBS, ABS

Please send resumes to Jim Geiger

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Details

  • Job Reference: 707267622-2
  • Date Posted: 8 September 2022
  • Recruiter: Analytic Recruiting Inc.
  • Location: New York
  • Salary: On Application
  • Sector: Banking & Financial Services
  • Job Type: Permanent