MD Mortgage/MSR Risk Quant
Managing Director, Agency MBS & Mortgage Modeling
A large Investment Bank is hiring a Managing Director to lead Agency MBS and Mortgage modeling for its investment function. The hire will work directly with senior portfolio managers. They will provide the modeling and research that drive investment and hedging decisions on a large Mortgage Portfolio. The role covers the full process: research into borrower and collateral behavior, model development, putting models into production, monitoring and governance.
Key Responsibilities
- Act as the main modeling partner to Portfolio Management on Agency MBS and MSR positions
- Analyze prepayment behavior across collateral cohorts and the risk characteristics of CMO structures
- Build and improve term-structure, mortgage-rate, prepayment, cashflow and valuation models
- Put models into the firm's risk and valuation systems
- Run research on large loan-level datasets
- Monitor model performance and recommend improvements
- Work with stakeholders on model risk, data quality and known limitations
- Turn complex analysis into clear portfolio recommendations for senior leadership
Candidate Profile
- 10+ years on the buy side or sell side, with experience in one or more of:
- Agency MBS quant research
- Prepayment modeling
- MSR valuation, investing or risk
- Agency dealer-desk analytics
- Fixed-income quant work supporting PMs or traders
- Strong in:
- Term-structure modeling and mortgage-rate modeling
- Borrower-behavior modeling and CMO cashflows
- Econometrics and statistics
- Options pricing
- Fluent in Python and SQL with loan-level data
- Clear communicator who can work with PMs, executives and control functions
- PhD or master's in a quantitative field strongly preferred
Why Consider It
- Direct influence: your models shape real portfolio decisions
- Senior visibility: you work closely with the Exeuctive leadership team
- Ownership: you take models from research through to production
- Package: competitive MD-level base plus incentive
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