As a part of collateral modeling group, build and validate credit structured product model such as Non-agency RMBS, CRT,Jumbo 2.0, Non-QM, RPL/NPL, CLO and etc.
Work closely with traders to support trading decision.
Research on the default/prepayment/severity data and write the model to the production code.
2-5 year experience working on structured products analytics
Strong data analytic skills (statistics, Machine Learning)
Strong programming skills (C++, Python, R)
Advanced degree in Math, Statistics, Engineering or similar.
Good communication skills.
Experience with non-agency RMBS modeling will be a definite plus