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Analytic Recruiting, Inc

Quantitative Analyst – Mortgage and Rates Pricing Modeler

Analytic Recruiting Inc.
New York, United States
Posted 25 days ago Flexible Permanent Competitive
J
Posted by
Jim Geiger
Executive Recruiter
A US Commercial Bank with a major business in originating residential mortgages, secondary trading in mortgage securities, and managing a sizeable investment portfolio in mortgage-backed products is looking for experienced Quantitative Mortgage modelers to develop and enhance the bank's residential mortgage analytics and pricing models.

Responsibilities

· Develop and enhance mortgage pre-payment, default, risk, and pricing models for RMBS, Mortgage-Backed investments, and the bank's MSR business

· Work on a team that is migrating mortgage, MSR, and interest rate pricing and risk models from 3rd party vendor products to building state-of-the-art internal proprietary models

· Develop loan origination and pricing models

· Develop production quality ETL and data integrity processes to build and maintain pre-payment and pricing models

· Create visual tools for monitoring and adjusting model performance

· Develop tools to run and analyze bid lists, dealer offerings, and new issue deals for RMBS

· This is a hybrid modeling/development role

Requirements

· MS or Ph.D. degree in Statistics/Data Science, Computer Science, Mathematics, or Financial Engineering from a top university

· Strong statistical development skills in Python/R/C++/C#/SQL

· Experience working with 3rd party mortgage valuation, pre-payment, and default models and products (QRM, Yield Book, Polypaths, MIAC, Algorithmics)

· Experience working with mortgage databases (1010/eMBS/,Loan Performance -Core Logic)

· Experience with statistical models such as linear and non-linear regression, logistic regression, and generalized linear models.

· 5+ years of Industry exposure to fixed income valuation and risk management. Exposure to structured credit (RMBS, CLOs, CMBS, ABS)

· Self-motivated, organized, driven individual with excellent communication skills

· Open, flexible personality that works well with a team

· Knowledge of cloud computing technology a plus

Key Words: Mortgage Pricing, R, Python, Credit, Modeling, RMBS, CLOs, CMBS, ABS

Please send resumes to Jim Geiger jeg@analyticrecruiting.com
 

Job ID  JEG-24575
ABOUT COMPANY
New York, United States
Information Technology
Since 1980 ANALYTIC has been a leader in staffing roles that require analytic talent. Our practice is nationwide and focuses on quantitative positions...
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