Senior Quantitative Analyst, MBS Credit Risk Modeler
- Building and enhancing prepayment, default, recovery, and valuation models
- Testing, validating, and reviewing credit risk models
- Performing scenario, sensitivity, and other analysis
- Analyzing CMO structures, interest-only (IOs), mortgage TBAs, negative amortization, ABS, CMBS, etc (i.e. auto loans, student loans, credit cards, CDOs, etc)
- Collecting and analyzing data from various sources, checking data quality, and performing data integrity checks
- Implementing model updates to integrate smoothly with existing processes
- Communicating with and presenting risk models to senior management, traders, and portfolio managers
- PhD in a quant discipline (applied math, statistics, econometrics, engineering)
- Minimum 8-10 years industry experience in MBS credit risk modeling, risk manager, portfolio analyst/ manager, trader, desk quant, etc
- Strong quantitative/statistical skills (Monte Carlo simulations, logistic and linear regression, advanced statistical modeling, etc)
- Excellent communication skills to develop and present recommendations of “grey areas” / uncertainty
- Proficiency with statistical modeling software: SAS, Matlab
- A huge opportunity to attain progression within a leading quantitative risk management team
- Very analytical and quantitative exposure
- Collaborative and collegial environment to have your voice heard
- Career advancement and competitive compensation structure
Key words: credit risk, MBS, RMBS, residential, CMBS, commercial, mortgage-backed securities, ABS, CMO, IO, PO, TBA, rolls, neg-am, negative amortization, quantitative risk, risk models, model validation, model development, prepayment, default, recovery, valuation, credit risk, statistical modeling, SAS, Matlab, Los Angeles
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
Search Consultant: James Friend
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90025 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 020.3207.9090
St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
We operate globally and leverage our extensive relationships to unite the most talented people with the most intellectually and financially rewarding career opportunities throughout Europe, the United States, Asia and the Middle East.
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