Mortgage Quantitative Analyst, AVP
Core
Develop, implement, and validate sophisticated quantitative models to price and assess risk on RMBS pools/securities using advanced analytics and machine learning.
Role type
Senior IC quantitative analyst (RMBS)
Builds
Pricing and risk assessment models for RMBS securitized products
Domain
Financial services / Mortgage-backed securities
Deliverable
production ML models
Required skills
Python, C++, SQL, machine learning frameworks (Scikit-learn, TensorFlow, PyTorch), statistical modeling, cashflow analytics
Preferred skills
Experience with mortgage databases (eMBS, McDash, LoanPerformance), trading desk collaboration
Technologies
Python, C++, SQL, Scikit-learn, TensorFlow, PyTorch, Yield Book, Bloomberg, Intex
Responsibilities
Lead development and validation of models for pricing and risk assessment; Apply statistical and ML modeling to project prepayment and default rates; Support trading desk with data analysis tools and reports; Collaborate with risk management and model validation groups
Seniority
Senior, hands-on IC
