Sr. Prepayment Modeler recruitment

 
As a senior member of the mortgage research team, design, estimate, and develop MBS prepayment/default models.  Communicate model assumptions, projections, performance, and valuation implications to internal and external clients.

 

Responsibilities:

 

• Develop next generation and modify existing prepayment models using statistical tools.
• Work with FMG to implement production quality models.  Verify that newly implemented models tie to prototyped models.
• Directly communicate with BlackRock desk and BlackRock Solutions' clients regarding model factors, forecasts, performance, and security valuation implications.
• Prepare presentations and present model content to clients.
• Review all model related reports and provide commentary including forecast error reviews.  Be proactive regarding required model enhancements.  Instruct users how to use models effectively.
• Recommend dial sets when particular coupons or vintages generate large forecast error.
• Produce a monthly write-up regarding model performance, prepayment trends, and relative value.  Present to clients and desk.
• Assist mortgage research in developing rich/cheap models for MBS strategy platform.
• Manage research analysts on specific projects.  Identify and ensure adequate and appropriate resources are assigned to successfully complete projects on a timely basis.
• Assist colleagues in testing and reviewing new models.

 

Client Relationship

 

Provide on-going client support to both internal and external clients.

 

Requirements:

 

Education

A PhD level education with a focus on math, engineering, finance/econometrics, or statistics is required.  Some exposure to finance is also highly desirable.
 
Technical Requirements

2 to 3 years of financial modeling experience.  Must have experience developing econometric models in the fixed-income area.  SAS Splus skills are required.  C/C++/SQL/Perl programming skills also highly desirable

 

Managerial Experience

Experience in project management preferred. Excellent communication and presentation skills required.  Demonstrate ability to work well with and motivate a team.  Must have a strong desire to learn MBS valuation, relative value, and risk management.

BlackRock is proud to be an E-Verify Equal Opportunity/Affirmative Action Employer--M/F/D/V.
 

Skills

BlackRock is one of the world's preeminent asset management firms and a premier provider of global investment management, risk management and advisory services to institutional, intermediary and individual investors around the world. BlackRock offers a range of solutions -- from rigorous fundamental and quantitative active management approaches aimed at maximizing outperformance to highly efficient indexing strategies designed to gain broad exposure to the world's capital markets. Our clients can access our investment solutions through a variety of product structures, including individual and institutional separate accounts, mutual funds and other pooled investment vehicles, and the industry-leading iShares® ETFs.