Job Details
A financial firm specializing in mortgage-backed securities and other asset-backed products is seeking a Senior Quantitative Modeler with strong programming and architecture experience designing and implementing mortgage prepayment models, mortgage default models, and derivative valuation models used to support a robust mortgage origination and mortgage investment portfolio.
Responsibilities
- Architect, Develop, enhance, and implement Prepayment and default models in the RMBS/ABS/Consumer Lending space.
- Architect and Develop loan origination and pricing models.
- Develop production quality ETL and data integrity processes to build and maintain credit models.
- Create visual tools for monitoring and adjusting model performance.
- Develop tools to run and analyze bid lists, dealer offerings, and new issue deals in the structured credit space.
- This is a hybrid architect/modeling/development role.
Requirements
- Advanced degree in Statistics/Data Science, Computer Science, Mathematics, or Financial Engineering from a top university
- Strong software engineering skills in C++ Coding, Java, Python
- Experience with Mortgage Vendor Software products: ADCo, Intex, Polypaths, QRM, Yieldbook, Bloomberg
- 8+ years of Statistical Quantitative Modeling experience in the mortgage space
- Experience with mortgage credit modeling (prepayments, defaults, severities)
- Experience with statistical models such as linear and non-linear regression, logistic regression, and generalized linear models.
- 8+ years of Industry exposure to fixed-income valuation and risk management. Exposure to structured credit (RMBS, CLOs, CMBS, ABS)
- Self-motivated, organized, and driven individual with excellent communication skills.
Base Salary Range: $175,000 - $250,000. This represents the presently-anticipated low and high end of the Company s base salary range for this position. The actual base salary range may vary based on various factors, including but not limited to location and experience.
Total Direct Compensation: This job is also eligible for discretionary bonus and incentive compensation on an annual basis that can increase total compensation 30%-50%.
Key Words: C++, Python, Credit, Prepayment Modeling, RMBS, CLOs, CMBS, ABS
Please send resumes to Jim Geiger ...@analyticrecruiting.com