Director RMBS/ABS Desk Quant
- Develop and execute investment strategies focused on non-agency mortgages (e.g., CRT, RPL/NPL, Non-QM, Jumbo Loans) and consumer assets (e.g., auto, personal, solar loans)
- Build and refine quantitative models to forecast loan performance and risk
- Collaborate with traders, quantitative programmers, and investment teams to shape and implement strategies
- Perform research and modeling on prepayment and default behaviors for both RMBS and ABS markets
- Partner with risk managers and controllers to ensure robust strategy execution
- Contribute to new product development and model enhancements across both mortgage and consumer loan sectors
- 10+ years of experience in RMBS/ABS research, strategy, and modeling, with expertise in non-agency mortgages and consumer loans
- Strong technical and quantitative modeling skills (at least a Master's degree in a related field like Physics, Mathematics, Computer Science, or Engineering)
- Prepayment and Default Modeling experience
- Expertise in residential mortgages (RMBS), non-performing loans (NPL), re-performing loans (RPL), Non-QM, and consumer loan markets
- Proficient in programming (Python, SQL) and deploying models in production
- Business acumen and commercial sense to complement strong technical expertise
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