Mortgage Credit Risk Modeler

  • Competitive
  • Chicago, IL, USA
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 11 Sep 17

Midwest based Financial Firm is looking for an experienced Structured Mortgage Quantitative Analyst/Financial Engineer to join the firms Mortgage pricing and hedging portfolio team.

Responsibilities:

  • Analyze relative value of the firm’s mortgage credit risk
  • Member of the portfolio hedging team
  • Provide quantitative and analytical support for pricing primary and secondary mortgage products
  • Subject Matter Expert using 3rd Party modeling applications (AdCo, Loan Kinetics, CoreLogic)
  • Oversee Portfolio Revenue and Loss Forecasting, Stress Testing, Establishing Risk and Concentration limits
  • Manage 2 quantitative analysts

 

Requirements:

  • Quantitative Master’s degree
  • 5-7 years’ experience with mortgage performance, structuring and securitization models: Intex, AdCo, CoreLogic
  • Advanced Stochastic Modeling skills applied to mortgage credit risk
  • Deep understanding of Mortgage math and stochastic modeling
  • Hands-on skills using statistical applications such as SAS, SQL
  • Superior Mortgage securitization knowledge
  • Nice to have: Asset-Liability Management experience
  • Superior verbal and written communication skills to present complex findings to senior management
  • Should have experience managing, training and mentoring junior modelers and analysts

 

Keywords: Quantitative Risk Manager, Mortgage Securitization, Structuring, MBS Hedging, Intex, AdCo, CoreLogic, Stochastic Modeling

 

Please refer to Job #22675 - and send MS Word attached resume to jeg@analyticrecruiting.com