RMBS Quant Modeler recruitment
Position Summary:
The Quantitative Modeler will work with teams dedicated to underwriting and managing primarily RMBS and collateralized debt obligations (CDOs). The Modeler will:
• Develop programs and tools to analyze monthly residential mortgage performance and house price data for distressed investing.
• Develop programs and tools to automate the underwriting process
• Analyze collateral performance using advanced statistical software
• Execute statistical and econometric analysis of mortgage behavior at loan and aggregate level
• Develop programs and tools that generate customized forecasts on mortgage prepayment, default, delinquency and loss severity
• Develop programs that connect mortgage performance forecast to structured MBS/ABS deals, generate cash flow of bonds of these deals and produce pricing summary and reports
• Analyze the impact of mortgage performance, deal structure and macroeconomic policies on pricing of securities
• Create stress test models and automate various reporting and model outputs
Education and Experience Qualifications:
• Bachelor’s degree in Science/Engineering; Master’s degree with a financial engineering focus is preferred
• 4+ years of experience in RMBS modeling and analytics, such as regressions and deal structuring
• Advanced skills in statistical software and database language preferred
• Familiarity with deal structuring tools (Intex subroutines) a must
• Programming skills - VBA, C++, C#, SQL