Senior Securities Quantitative Analytics Specialist
Information Technology
Charlotte North Carolina Direct Hire Sep 21, 2022

Senior Securities Quantitative Analytics Specialist

Location: New York City, NY or Charlotte, NC
Duration: Direct Hire
Pay: $225,000.00+/year

Finance brings together enterprise functions that drive this company's financial management, including accounting and control, financial planning and analysis, line of business finance, asset-liability management, treasury, tax management, and the company's investment portfolios. They also inform shareholders, regulators, taxing authorities, employees, and leaders of the company's financial performance through earnings releases, investor meetings and conferences, and meetings with regulators and credit rating agencies, following appropriate reporting guidelines.

Investment Portfolio: The Investment Portfolio (IP) manages the Company’s Available-For-Sale (AFS) and Held-To-Maturity (HTM) securities and loan portfolios, and the Reinsurance and Bank Owned Life Insurance (BOLI) businesses as part of the Finance group. IP also provides strategic and analytical balance sheet support to the bank, as well as a centralized, street-facing trade execution and hedging function and centralized mortgage modeling for the enterprise. The Investment Portfolio consists of:

Credit Investment Portfolio (CIP): Responsible for the evaluation of credit-driven investment opportunities across a broad spectrum of corporate notes, loans, Municipal bonds, CLOs, and other asset backed securities

Macro Investment Portfolio (MIP): Responsible for maintaining a portfolio of fixed income investments to achieve liquidity, interest rate risk management, and capital management objectives on behalf of Corporate Asset / Liability Committee

Trading: Street-facing trading desk with the ability to offer coordinated execution of all cash and derivatives trades for the portfolio, as well as for other key partners within the company

Reinsurance and Bank Owned Life Insurance (BOLI) businesses: which consist of both life and annuity insurance contracts.

Portfolio Strategy, Analytics, and Infrastructure (PSAI): Centrally manages IP’s analytics, including stress testing, sensitivity analytics, and optimizing investment decision making within capital, liquidity, and risk management constraints

Mortgage Modeling Center of Excellence (MMCOE): Centrally manages all quantitative modeling related to market and interest rate risk on the bank’s mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.

Financial Forecasting & Reporting (FFR): Centrally manages income and balance sheet forecasting and portfolio level reporting.

IP Business Management Office: Serves as a trusted advisor and aid in establishing business priorities for the portfolios and the teams, responsible for strategizing, planning, and executing a variety of services and initiatives on behalf of the portfolio executives and their respective teams. The team also leads implementation of enterprise driven initiatives in partnership with finance and enterprise business support partners.

The Mortgage Modeling COE is seeking skilled Senior Securities Quantitative Analytics Specialists. The Senior Mortgage Quant will be in charge of developing prepayment and default behavior models for agency and non-agency mortgages, and / or the development of mortgage pricing and risk models. This includes ongoing monitoring and research related to mortgage model performance and the all end implementation and testing of and research into the group’s internal and vendor pricing models. Depending on experience and background, the candidate may focus on a subset of these areas. A successful candidate must have strong expertise in prepayment and default modeling and / or the development of mortgage pricing and risk models, as well as be familiar with Agency and Non-Agency Databases and be familiar with Residential Mortgage-Backed Securities (RMBS) valuation, OAS framework and risk analysis.


  • Leading or participating in moderately complex initiatives and deliverables within Securities Quantitative Analytics
  • Creating cutting-edge derivative pricing models and / or empirical models to provide insight into market behavior of mortgage securities products
  • Conducting ongoing maintenance and research on models for risk management of mortgage and fixed-income products
  • Developing model performance metrics like statistical back tests or P&L explanation analysis
  • Contributing to large-scale departmental planning
  • Combining mathematical programming and market expertise to build and generate systematic strategies
  • Reviewing and analyzing moderately complex business, operational, or technical challenges within Securities Quantitative Analytics that require an in-depth evaluation of variable factors
  • Using quantitative and technological techniques to solve complex business problems
  • Conducting research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
  • Resolving moderately complex issues independently
  • Leading team to meet deliverables while leveraging solid understanding of Securities Quantitative Analytics policies, procedures, and compliance requirements
  • Collaborating and consulting with peers, colleagues, and mid-level managers to resolve issues and achieve goals
  • Leading projects, teams, or serve as a mentor for less experienced staff
  • Playing an integral role to the trading floor


  • 4+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
    Desired Qualifications:
  • Experience in developing and tuning prepayment and default models
  • Experience in mortgage pricing models, Intex, empirical duration models
  • Experience with PolyPaths
  • Demonstrated experience in handling mortgage database (1010 / embs / loan performance / core logic)
  • Solid understanding of statistics, financial mathematics and models including, OAS framework, Monte Carlo simulation, LMM model, (exotic) interest rate derivatives models and mortgage analytics
  • Excellent demonstrated experience with Python / R and working knowledge of SAS or SQL and relational databases
  • Knowledge of and experience with C++, C# and / or Java
  • Ability to communicate across multiple audiences (Technology, Quants, Senior Management)
  • An impeccable reputation for integrity, accuracy, consistency, big picture orientation and business acumen
    Job Expectations:
  • Ability to travel up to 10% of the time

Category Code: JN008