VP/DIR, Mortgage Desk Quant/Strat
Core
Conduct quantitative analytics and complex modeling for mortgage trading, focusing on pricing and risk of interest rate products.
Role type
VP/DIR, Mortgage Desk Quant/Strat
Builds
Production pricing, risk, and analytics tools for mortgage trading desks
Domain
Financial Services / Mortgage / Interest Rate Derivatives
Deliverable
production ML models | product features
Required skills
Interest rate product pricing, Risk modeling, Monte Carlo simulation, Python programming, IR curve construction, Model risk management
Preferred skills
Mortgage sector exposure (Agency RMBS/CMO), Strategic planning, System design
Technologies
Python, BGM, SOFR, Treasury curves
Responsibilities
Lead development of new models and analytic processes, Work with traders on daily valuation and trade support, Generate documentation for model risk management, Act as liaison between Trading, Risk, and Technology
Seniority
VP/Director, hands-on IC with strategic influence
