VP Mortgage Quant
VP Mortgage Quant
- Creating new mathematical and computational techniques for pricing deals, managing risk, and incorporating models into internal systems and front-office applications.
- Maintaining the existing collection of models in the internal library.
- Working with tools such as Intex, PolyPaths, Yield Book, AD&Co LoanDynamics Model, mortgage models
- RMBS or CMBS modeling; Agency or Non-Agency prepayment, default, or severity modeling experience
- Assisting traders in leveraging the library for daily pricing and risk control.
- Collaborating with external control teams to support their understanding and use of models.
- Collecting, structuring, and analyzing market and trade data to generate a variety of reports, from high-level summaries to detailed transaction-level insights.
- Engaging in discussions with traders, senior leadership, and risk managers regarding deal modeling, pricing strategies, hedging, risk measurement, and overall risk management.
- Advanced academic background in a technical discipline (e.g., mathematics, physics, statistics, engineering, computer science).
- At least 4 years of professional experience.
- Broad understanding of mortgage and other asset-backed products, pricing methodologies, industry best practices, and market data sources.
- Familiarity with industry tools such as Intex, PolyPaths, Yield Book, AD&Co LoanDynamics Model, and/or BAM mortgage models is considered a strong asset.
- Experience with RMBS/CMBS models.
- Proficiency in software development languages such Python, C++, etc.
- Advanced skills in Excel, including scripting and efficient spreadsheet design.
- Strong technical writing skills.
- Excellent communication capabilities, with the ability to effectively engage with a broad spectrum of colleagues, including technical professionals, traders, marketers, senior leadership, back-office staff, and risk management teams.
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