Job Description:
A New York-based financial firm specializing in mortgage-backed securities and other asset-backed products is seeking experienced Quantitative Modelers with strong statistical backgrounds and mortgage model origination and underwriting experience.
Responsibilities:
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Develop and enhance credit models in the RMBS/ABS/Consumer Lending space via data-driven credit risk analysis.
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Develop loan origination and pricing models
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Develop production quality ETL and data integrity processes to build and maintain credit models
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Create visual tools for monitoring and adjusting model performance
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Develop tools to run and analyze bid lists, dealer offerings, and new issue deals in the structured credit space
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This is a hybrid modeling/development role
Requirements:
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MS or PhD degree in a Statistics/Data Science, Computer Science, Mathematics, or Financial Engineering from a top university
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Strong development skills in Python/R/C++/SQL
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Modeling experience in the origination space
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Experience with mortgage credit modeling (prepayments, defaults, severities)
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Experience with statistical models such as linear and non-linear regression, logistic regression, and generalized linear models.
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10+ years Industry exposure to fixed income valuation and risk management. Exposure to structured credit (RMBS, CLOs, CMBS, ABS)
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Self-motivated, organized, driven individual with excellent communication skills
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Open, flexible personality that works well with a team
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Knowledge of cloud computing technology a plus
Base Salary Range: $150,000 - $200,000. This represents the presently anticipated low and high end of the Company’s base salary range for this position. Actual base salary range may vary based on various factors, including but not limited to location and experience.
Total Direct Compensation: This job is also eligible for discretionary bonus and incentive compensation on an annual basis that can increase total compensation 30%-50%.
Keywords: Statistical Modeler, Mortgage Origination, R, Python, Credit, Modeling, RMBS, CLOs, CMBS, ABS
Please send resumes to Jim Geiger, jeg@analyticrecruiting.com | For more opportunities, please visit www.analyticrecruiting.com
