Previous Job
VP - RMBS Prepayment Modeller
Ref No.: 18-00465
Location: New York City, New York
Role Profile:

Our client prides itself in setting a market standard for RMBS prepayment models that are the cornerstone of Fixed Income Analytics products and services provided by the firm.

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.

Key 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 Behaviours:
  • Integrity
  • Has the sustained drive and energy to deliver support service to time and quality.

  • Values practical aspect of model development, quality of code, scalability, etc alongside with the quality of model itself.
  • Deals with conflict successfully.

  • Open to and willingly adopts new processes / approaches / ways of working.
  • Seeks information/inputs from colleagues/clients.

  • Oral and written communications are tailored to their audience's needs.
  • Willingly puts in the effort to ensure activities completed on time and to the quality required.
  • Pro-active and demonstrates initiative.
  • Prioritises activities according to business and operational need.
  • Analysis and problem solving.
  • 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.
  • 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 Fixed Income models and analytics, including interest-rate, and credit is a plus.
  • HPA modelling experience is a strong 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.