Head of Residential Mortgage Research and Modeling (Managing Director)

  • Not Specified
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • BlackRock
  • 22 Apr 18 2018-04-22

Residential Mortgage Research and Modeling

BlackRock helps investors build better financial futures. As a fiduciary to our clients, we provide the investment and technology solutions they need when planning for their most important goals. As of March 31, 2018, the firm managed approximately $6.317 trillion in assets on behalf of investors worldwide. For additional information on BlackRock, please visit www.blackrock.com | Twitter: @blackrock | Blog: www.blackrockblog.com | LinkedIn: www.linkedin.com/company/blackrock.

Job Description:

As a senior member of the SFRM team, this person will lead the Residential Mortgage Research and Modeling team, responsible for all residential mortgage products which are core models for Aladdin analytics. In particular this person will be directly responsible for agency prepayment research and modeling. The person will also provide analytical services to internal and external clients on residential mortgages; Conduct relative value, strategy, and market research on these topics; Provide thought leadership in mortgage and structured finance.  

Responsibilities

  • Lead the design, development, and implementation of models and analytical systems for residential mortgages.
    • Develop and maintain prepayment, credit, cash flow and related models as well scenario analysis and stress testing tools.
    • Design and develop model-related valuation and risk analytics and provide commentary on collateral performance and model surveillance.
    • Be proactive regarding model/analytics performance and enhancements. Recommend dial sets or adjustments as needed.

  • Conduct market and relative value research and contribute to periodical publications and communications to internal and external clients.  
    • Provide thought leadership on modeling and industry practice 
    • Communicate to clients on market dynamics, model/analytical issues and valuation implications. 

  • Provide quantitative services to internal and external clients
    • Build bespoke models and conduct ad hoc analysis and research
    • Provide consultancy on structured products and quantitative analysis  

  • Manage a team of modelers and quant developers
    • Provide coaching and feedback to team members;
    • Build connectivity with other parts of firm

Requirements:

  • In-depth knowledge and understanding of fixed income, particularly structured products, market, valuation and risk analytics. Substantial experiences in research and modeling for residential mortgage are required, with strong preference for direct experience in agency MBS sector. Comprehensive understanding of the connection of data, model and analytics such as duration, convexity, vega etc are required. 
  • Substantial experience in statistical or econometric models and working with large loan-level data sets. Experience with machine learning, data visualization and data science tools are highly desirable.
  • Fluent in R, Python, or SAS. Exposure to SQL, BigData technologies, and cloud computing is preferred.
  • A graduate level education, with a focus on statistics, econometrics, economics, finance, financial engineering, mathematics, physics, or other related quantitative fields. 
  • Excellent communication and inter-personal skills. Experience in management is strongly preferred.

BlackRock is proud to be an Equal Opportunity and Affirmative Action Employer.  We evaluate qualified applicants without regard to race, color, national origin, religion, sex, sexual orientation, gender identity, disability, protected veteran status, and other statuses protected by law.

BlackRock will consider for employment qualified applicants with criminal histories in a manner consistent with the requirements of the law, including any applicable fair chance law.