Senior Securities Quant Analytics Specialist Information Technology
Charlotte , North Carolina Direct Hire Jun 2, 2023
Senior Securities Quant Analytics Specialist Location: New York, NY or Charlotte, NC Duration: Direct-Hire Salary: $190,000.00+/year Bonus: Annual
JOB DESCRIPTION Our client is one of the largest banks in the world with excellent benefits and flexibility on remote work. Their main focus is on keeping employees and contractors’ long term. The applicant will join the Securities Division Quantitative Strategies Team. We are looking for candidates with RMBS products modeling/programming/development background to support the modeling libraries and work closely with technology to integrate and support them into production.
The Mortgage Modeling Development Center (MMDC) is seeking a Senior Securities Quantitative Analytics Specialist who will oversee designing and executing ongoing model monitoring, portfolio testing, enhancement of testing and monitoring framework, and execution of key strategic initiatives. This role is in a high quantitative fast-paced team supporting various Mortgage trading desks and a successful candidate must be familiar with Residential Mortgage-Backed Securities (RMBS), Mortgage Servicing Rights (MSR), OAS framework, and Risk analysis. The incumbent in this role will be conversant with regulatory model risk guidelines.
Lead or participate in moderately complex strategic development initiatives and deliverables within the Mortgage Model Development Center
Combine mathematical skills, programming, and market expertise to develop and implement tools which provide insight into market behavior of mortgage securities products.
Conduct ongoing maintenance, testing, and research for models used for risk management of mortgage and fixed income products.
Develop key model performance metrics like statistical back tests or P&L explanation analysis.
Research and resolve model risk findings.
Collaborate and consult with peers, and managers to achieve strategic mortgage development goals.
Lead projects or serve as a mentor for less experienced staff.
Play an integral role in supporting various Mortgage trading desks.
4+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education.
Masters in a Quantitative field (Mathematics, Physics, Computational Finance, Statistics, Computer Science, etc.)
Experience in mortgage pricing models, Intex, empirical duration models, Value at Risk
Experience working with PolyPaths, Yieldbook, and Bloomberg.
Experience in developing and tuning prepayment and default models
Experience in Power BI, Tableau, Datawatch, and other visualization tools
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 (Quants, Trading desks, Senior Management, Technology)