Quantitative Developer

Client is seeking a Quantitative Analytics Tech Lead to join the Models & Analytics group to develop and enhance mortgage prepayment, default and severity models for portfolio management. The team is responsible for developing models and conducting quantitative analysis to support valuation and hedging of mortgage products.

Our Impact:

The Modeling and Analytics group in Investments and Capital Markets division develops financial and statistical models that are used for valuation and risk analytics purposes.

Your Impact:

The successful candidate will contribute to the development of mortgage valuation model and conduct portfolio analysis to support trading and hedging activities.

Your Work Falls into Four Primary Categories:

Model Development and Research

• Developing mortgage prepayment, default and severity models that assess market risk of mortgages, mortgage-backed securities, and senior-sub structured products
• Applying statistical modeling and big data analytics tools and developing innovative solutions for forecasting mortgage borrower behavior
• Conducting research on industry models, market conditions, and regulatory environment.

Portfolio Analysis

• Developing and enhancing valuation processes and risk metrics for our retained portfolio of mortgage products.
• Conducting sensitivity analysis and impact assessment for model updates and changes in model inputs.

Model Governance

• Preparing model documentation and conducting thorough model validation tests.
• Developing on-going performance monitoring and threshold methodology.

Business Support

• Providing analytics support for trading and hedging activities.
• Working under limited direction, independently determining and developing approach to solutions.

• 10+ years of experience with modelling- with at least 3-5 years of experience model testing and model development.
• Candidate must have a quantitative degree- master's degree required but Doctorate is preferred., * Doctorate degree plus 3 years of working experience (or Master's degree with equivalent 5 years of working experience) in statistics, data science or a related quantitative field.
• 5+ years of relevant experience applying predictive modeling techniques or data analytics to large datasets is preferred.
• Post-graduate work experience in mortgage valuation and statistical modeling
• Programming skills in one or more of Python, R, SAS or related languages
• Exceptional quantitative, empirical analysis, and research skills
• Experience working with large data sets and relational database
• Experience in statistical model development and implementation is preferred

Keys to Success in this Role:

• Exceptional quantitative, empirical analysis, and research skills
• Strong knowledge of survival analysis and mortgage valuation
• Strong programming skills and knowledge in big data analytics such as Apache Spark and AWS cloud computing

Top 3 Personal Competencies to Possess:

• Drive for Execution - Execute effectively with a clear direction and objective, good ownership
• Partnership - Build trust and strong partnerships within the team; good team player
• Leadership - Set and execute upon a clear vision and goals; good communication, interpersonal, and leadership skills