VP MBS Prepayment Modeler
Department: Quantitative Modeling and Research
- Model Development: Design, build, and implement prepayment and default models from scratch for mortgage and consumer loan portfolios.
- Data Analysis: Analyze loan-level historical performance data to identify behavioral drivers of prepayment and default.
- Methodology & Research: Apply advanced statistical, econometric, and machine learning techniques to improve model accuracy and robustness.
- Stakeholder Collaboration: Work closely with risk management, trading desks, and technology teams to integrate models into pricing, risk, and forecasting systems.
- Documentation & Presentation: Prepare detailed documentation and present methodologies and results to senior management, model validation teams, and regulators.
- Education:
- Ph.D. in a quantitative discipline (Statistics, Mathematics, Economics, Finance, Computer Science, or related field) strongly preferred.
- Master's degree with exceptional experience will be considered.
- Experience:
- 3-8 years of experience in quantitative modeling within a Tier 1 bank or leading financial institution.
- Proven ability to build prepayment and default models from scratch.
- Technical Skills:
- Proficiency in Python, R, or similar programming languages.
- Strong knowledge of statistical modeling, survival analysis, time-series forecasting, and machine learning techniques.
- Familiarity with large-scale data environments and cloud-based solutions is a plus.
- Soft Skills:
- Excellent communication skills with ability to explain complex models to non-technical stakeholders.
- Strong problem-solving and research mindset.
- Total Compensation: $325,000 - $375,000 (inclusive of base salary, bonus, and benefits).
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