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Director – Agency RMBS Prepayment Modeller - Perm
Ref No.: 18-00305
Location: New York City, New York
Job Description:

Reporting to the Director – Head of Mortgage Quantitative Analytics, the Agency Prepayment Modeller is a senior research role responsible for maintenance and development of the suite of firms' Agency RMBS models. The individual will be responsible for specification, development, estimation, maintenance, and support, in addition to working with existing and new clients and partners. Working closely with Client Service, Product Management, other Research teams, Data, Development, and Support, the following lists the key areas of responsibility for this role:
  • Responsibility for learning and understanding Agency RMBS Prepayment models.
  • Deep understanding of RMBS asset classes, market structure, data structure, trading practices and conventions as pertains to Agency RMBS.
  • Ability to drive model development and integration with other parts of company systems.
  • Coordination with developers, data teams, Marketing and Sales.
  • Generate innovative ideas to provide our clients with a competitive advantage
  • Develop and manage key relationships with senior and/or influential contacts

Key Responsibilities:
  • Maintain and improve existing Agency RMBS models.
  • Interact with clients on a regular basis to get feedback and source new requirements for model improvements.
  • Interact and influence Development, Data, as pertained to implementation of the model.
  • Follow the markets and produce market commentary illustrating behaviour of the model on a regular basis.
  • Contribute to model validation process, as required by the internal and external clients.
  • Maintain model documentation at the appropriate level of clarity and detail.
  • Analyses issues to identify the most appropriate solutions.
  • Utilises all available resources and toolsets to investigate and resolve problems.

Candidate Profile / Key Skills:
  • Advanced academic degree (PhD preferred) in a quantitative field, such as Science, Engineering, Statistics, or Mathematics.
  • 5-10 years of Industry experience with Agency prepayment models, as well as satellite mortgage models, such as mortgage rate, HPA, and interest rate models.
  • Strong leadership skills, proven ability to innovate.
  • Deep knowledge of Agency RMBS and CMO markets, trading practices and trends.
  • Proven ability to work with clients and influence at a senior level.
  • Strong development skills. Experience in C++ is a strong plus. Experience in scripting languages used for estimation is required.
  • Strong understanding of mortgage analytics systems is a significant plus.
  • Excellent communication skills are required, both oral and written.
  • Team player, ability to learn new models quickly and efficiently.