Senior Quantitative Analyst – Mortgage Trading and Analytics

Responsibilities

• Develop and enhance mortgage pre-payment, default, risk, and pricing models for RMBS, Mortgage-Backed investments, and the bank's MSR business
• Build mortgage trading algorithms and mortgage pricing models
• 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
• Provide insights into mortgage market behavior
• 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 jeg@analyticrecruiting.com