Mortgage Modelling Quant
Mortgage Modelling Quant
Location - North Carolina
Salary: Competitive base salary and bonus component
This VP level opportunity has just opened up in the Mortgage Modelling Analytics team. The ideal candidate would have experience building, developing and implementing prepayment and default mortgage models and able to handle large data sets. The capital markets and finance teams will be utilising these models. MBS and-or ABS experience is highly valued and the candidate must have prior experience of modelling these products.
Responsibilities:
•This role is responsible for the development and execution of quantitative risk models in support of business and risk decisions.
•Establishing analytical methods and models that assess the market, credit and-or operational risks of new and existing financial and mortgage products-portfolio.
•This team functions as a technical expert, providing modeling and analytical support to the business
•Involved in developing, modifying and executing company policies that the company as a whole and any immediate operations.
•Is able to have company oversight where and works on issues where he analyses company models in line with the organizational objectives.
•Regularly interacts with senior management or executive levels on matters concerning several functional areas, divisions, and-or customers.
•Establishes and assures adherence to budgets, schedules, work plans, and performance requirements.
The candidate will need the following skill set:
•PhD (or very strong Masters) from well-recognized university in a quantitative subject
•Excellent SAS programming experience
•5+ years of experience (post-PhD) as an exceptionally strong modeler, who has built multiple models previously and handled large data sets
•Experience with MBS-ABS products
•Some mortgage-specific experience is needed for this role
•Previous experience working with Blackrock systems cash flow severity models would be ideal
•Prepayment and default model experience is needed
•Good verbal and written communication skills
•Familiarity with business applications of models, including pricing, loss mitigation, and risk management
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