RMBS Quantitative Mortgage Analytics, Director

The Team: Morningstar is one of the largest independent sources for equity and credit analysis in the world, with global equity coverage of more than 1,800 companies and credit research on more than 700 firms. Our Quantitative Analysts work closely with our fundamental fixed income credit research analysts to drive our quantitative methodologies forward. We use statistical analysis to test, improve and unearth valuable fundamental-driven, forward-looking credit analysis ideas to serve the investor community.

 

The Role: As the Director of RMBS Quantitative Mortgage Analytics, you will participate in the full development cycle of testing and improving our RMBS rating models and methodologies. This process begins with database construction and design and ends with rigorous statistical testing and communication of testing results. The candidate will need a strong grasp of statistical concepts and must be highly proficient with industry standard technologies such as C++ or C#, SQL, SAS and R. The ideal candidate will also have a strong practical and theoretical knowledge of residential mortgage-rated products and experience building a residential loan-level model using CoreLogic LoanPerformance data. This position is based in our midtown office.

 

Responsibilities

+ Maintain and build upon the databases that form the backbone of our quantitative research.

+ Build and maintain regression-based model to forecast monthly residential loan-level performance vectors to be fed into Intex.

+ Work with IT to integrate model into enterprise system used by clients.

+ Help develop new credit research and rating methodologies.

+ Perform ad-hoc data analyses as requested by the RMBS rating team.

+ Develop credit portfolio management algorithms for our model portfolios.

 

Requirements

+ An advanced degree in a quantitative or financial discipline, PHD preferred.

+ 5+ years of modeling and research experience with residential mortgage-related products.

+ Experience with loan-level residential mortgage data, preferably CoreLogic LoanPerformance data.

+ Experience with object-oriented programming languages such as C++,C or C#.

+ Experience with relational databases and SQL.

+ Experience with statistical modeling languages such as R, or SAS.

+ The ability to multi-task and handle a dynamic work-flow.

+ The ability to distill complex ideas into simple explanations.

+ Strong problem solving skills and intellectual curiosity

+ Ability to work as part of an analytic team in an entrepreneurial environment.

+ A strong interest in portfolio credit analysis

 

Morningstar is an equal opportunity employer.

May 30, 2013 • Tags:  • Posted in: Financial

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