Quantitative Analyst MBS – Prepayment & Interest Rate Modeling, recruitment
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Quantitative Analyst MBS - Prepayment Interest Rate Modeling, Validation Calibration. Regional Bank New York Metro Area, prime mortgage lender, residential, jumbos.
Responsibilities:
• Under supervision, calibrate existing quantitative interest rate and prepayment models.
• Review and revise model inputs and assumptions for accuracy and relevance.
• Assist with documenting the ‘what and why’ of the models processes.
• Perform monthly model validation and backtesting process.
• Tune and calibrate existing CPR models to suit current Bank position in comparison to the national model
• Roll up data to create balance sheet and income statement
Skills/Experience
• Graduate Degree in a quantitative discipline such as statistics, mathematics, actuarial sciences, financial engineering or economics with proven modeling and analytical skills and detail orientation
• Minimum 3-5 year experience using QRM, Sungard or other stochastic interest rate risk modeling system
• Knowledge of residential mortgages, RMBS, and prepayment, credit models.
• Knowledge of broader capital markets products ideally with exposure to European and Bermudan options, interest rate derivatives and structured products
• Rigorous understanding of one and two factor interest rates models, Hull-White, HJM, yield curve analyses, library construction and analytics, and modeling of numerical solutions
• Experience with statistical methodologies
• Proficiency in programming in VBA, SQL and some statistical package such as Matlab, SAS, S+ or R