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RMBS Data Scientist
Ref No.: 19-00236
Location: New York, New York
Job Description:

Reporting to the Director – Head of Mortgage Research, the RMBS Data Scientist is a junior to mid-level role responsible for analysis of mortgage collateral data and contributing to development of the suite of firms' Agency and Non-Agency Prepayment models. The individual will be involved in building ETL processes, and will also participate in building model construction and fitting tools. A successful candidate is a self-starter and highly motivated individual striving to deliver high quality product. This person is expected to grow over time to participate in estimation of the models.

Key Responsibilities:
  • Develop and maintain ETL processes of large MBS collateral data sets, under guidance of senior modellers and developers.
  • Build model construction and fitting tools, as well as model performance monitoring tools.
  • Enforce data quality checks, collaborate with other members of the team to build scalable QA frameworks and deploy them to production.
  • Participate in development of data-driven and behavioral models utilized in MBS space.
  • Be proactive in learning about the product, stay on top of new technologies.
  • Contribute to model validation process, as required by internal and external requests.
  • Maintain model documentation at the appropriate level of clarity and detail, as required for data processes.
    Key Behaviors:
  • Integrity
  • Has the sustained drive and energy to deliver on time and with high quality.
  • Partnership
  • Values practical aspect of data and code development, emphasis on quality of code, scalability.
  • Deals with conflict successfully.
  • Innovation
  • Open to and willingly adopts new processes / approaches / ways of working.
  • Seeks information/inputs from colleagues.
  • Excellence
  • Excellent communication skills are required to interact with other modelers and developers.
  • Willingly puts in the effort to ensure activities completed on time and to the quality required.
  • Pro-active and demonstrates initiative.
  • Prioritizes activities according to business and operational need.
  • Analysis and problem solving.
  • Analyses issues to identify the most appropriate solutions.
  • Utilizes all available resources and toolsets to investigate and resolve problems.
    Candidate Profile / Key Skills:
  • Advanced academic degree (Masters or PhD equivalent) in a quantitative field, such as Science, Engineering, Statistics, Data Science, or Mathematics or equivalent.
  • Excellent coding experience with Python. Coding experience in C/C++ is a plus.
  • Knowledge of Cloud computing is a plus.
  • Knowledge of Machine Learning frameworks is a plus.
  • Demonstrable years of Industry experience within Fixed Income Analytics field is a plus.
  • Knowledge of Securitized Products sector and MBS models is a plus.
  • Good understanding of Fixed Income models and analytics, including interest-rate, and credit is a plus.
  • Team player, ability to learn new models quickly and efficiently.
  • High motivation.