Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO)
Core
Analytical partner to Portfolio Management for Agency MBS and MSR investment and risk management decisions, developing valuation, forecasting, and risk measurement models.
Role type
Senior IC quantitative modeler (fixed income/mortgage)
Builds
Valuation, forecasting, and risk measurement models for Agency MBS and MSR portfolios
Domain
Fixed income, mortgage-backed securities, financial modeling
Deliverable
production ML models | product features
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), model governance, regulatory compliance analysis
Technologies
Python, SQL
Responsibilities
Develop and enhance models for Agency MBS and MSR positions; Monitor model performance and engage with Risk functions; Provide strategic insights on quantitative analyses and model validations; Review complex quantitative analyses and model designs; Conduct executive-level communication regarding model reviews and risks.
Seniority
Senior, hands-on IC