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VP, RMBS Prepayment Modeller - Perm
Ref No.: 18-00307
Location: New York City, New York
Job Description:

Reporting to the Director – Head of Mortgage Quantitative Analytics, the RMBS Prepayment Modeller is a mid-level research role responsible for maintenance and improvement of the suite of firms' Agency and Non-Agency Prepayment models. The individual will be responsible for development, estimation, maintenance, and support, in addition to working with existing and new clients and partners. Working closely with other Researchers, Data, Development, and Support, Client Service, Product Management, the following lists the key areas of responsibility for this role:
  • Responsibility for development of Agency and Non-Agency RMBS Prepayment models in collaboration with other modellers.
  • Good understanding of RMBS market structure, data structure, trading practices and conventions.
  • Contribute to model development and integration with other parts of the company's ecosystem.
  • Coordinate with developers, data teams, Marketing and Sales.
  • Generate innovative ideas to provide clients with competitive advantage.
  • Develop and manage key relationships with clients and key stakeholders.

Responsibilities:
  • Maintain existing RMBS Prepayment models.
  • Own model estimation infrastructure, provide timely model updates, quality control.
  • 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.
  • Contribute to model validation process, as required by internal and external requests.
  • Maintain model documentation at the appropriate level of clarity and detail.

Key Skills:
  • Advanced academic degree (PhD preferred) in a quantitative field, such as Science, Engineering, Statistics, or Mathematics.
  • 4--7 years of Industry experience with Prepayment models
  • Deep knowledge of Non-Agency RMBS and CMO markets, trading practices and trends.
  • Good understanding of satellite Fixed Income models and analytics, such as interest-rate, HPA, is a plus.
  • Team player, ability to learn new models quickly and efficiently.
  • Strong development skills. Experience in C++ is a significant 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.