Director, Non-Agency RMBS Modeller - Perm
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Director, Non-Agency RMBS Modeller - Perm
Ref No.: 18-00306
Location: New York City, New York
Job Description:

Reporting to the Director – Head of Mortgage Quantitative Analytics, the Non-Agency Modeller is a senior research role responsible for maintenance and development of the suite of firms' Non-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 maintaining and development of Non-Agency RMBS Credit models, including Default, Delinquency, Severity and all other relevant models.
  • Deep understanding of Non-Agency RMBS market structure, data structure, trading practices and conventions as pertains to Non-Agency RMBS.
  • Ability to drive model development and integration with other parts of company systems.
  • Coordinate with developers, data teams, Marketing and Sales, provide strong ownership of the models.
  • Generate innovative ideas to provide = clients with competitive advantage.
  • Develop and manage key relationships with clients and key stakeholders.

Responsibilities:
  • Maintain existing Non-Agency RMBS models. Propose, discuss, and implement significant improvements as required by the clients.
  • 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 internal and external requests.
  • Maintain model documentation at the appropriate level of clarity and detail.