A leading American financial institution is currently looking to build out it's organization with an MBS Model Developer. This person would be focusing on mortgage prepayment models within their FICC Team, and will be in a high exposure position making strategic recommendations on all model development, risk management, and macroeconomic projections for portfolio risk management. This person will also be responsible for managing and maintaining the relationship with the firm's mortgage analytics vendor on all model governance and validation practices. This is a senior level position that sits in Jersey City.
What You Will Be Doing:
- Developing mortgage prepayment models used by the FICC group
- Conducting data mining, segmentation analysis and market analysis
- Advising on model changes in support of stress testing
- Developing macroeconomic and interest rate views
What We Need from You:
- 7-12 years of full time (non-intern) working in fundamental and quantitative analysis
- 5+ Years of experience working in mortgage prepayment
- Experience programming in Python, R, SQL
- Experience working with models like Black Knight AFT, BlackRock, YieldBook, Barclays/Bloomberg
- PhD degree in Mathematical Finance, Economics, Statistics or a similar field
