Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO)
Core
Develop, maintain, and monitor quantitative models for Agency MBS and Mortgage Servicing Rights (MSR) to support investment securities and mortgage loan portfolios.
Role type
Senior quantitative modeling expert (Agency MBS & MSR)
Builds
Valuation, forecasting, and risk measurement capabilities for investment securities and mortgage portfolios
Domain
Fixed income / Mortgage-backed securities
Deliverable
production ML models
Required skills
Empirical research, econometrics, statistics, regression, time series, Python, SQL, financial mathematics, bond math, options pricing, prepayment modeling, cashflow modeling, term structure modeling, mortgage rate propagation
Preferred skills
Advanced quantitative degrees (PhD, Master's in engineering/math/statistics/finance), strategic analytical insights, regulatory compliance knowledge
Technologies
Python, SQL
Responsibilities
Act as analytical partner to Portfolio Management for risk and investment analysis; Develop interest rate term structure and cashflow models; Monitor model performance and engage with Risk functions; Review complex quantitative analyses and model validations; Provide consultative feedback on regulatory compliance documents
Seniority
Senior, hands-on IC with strategic oversight