Duties: Contribute to modeling and analytics focusing on agency/non-agency RMBS prepayment models, rates models, and Home Price Index (HPI) models. Evaluate, develop, maintain, and document quantitative methodologies and models. Perform statistical analysis and data mining of big datasets. Interpret pricing and risk evaluation framework of SPG products. Address ad-hoc internal and external requests relating to models. Perform collateral analysis on loan level, pool level, or cohort level by utilizing collateral performance data with database tools. Collect and clean market data. Work with model risk and governance teams to facilitate timely and efficient review and approval of models. Minimum education and experience required: This position requires a Doctorate's degree in Applied Mathematics, Statistics, Physics, or related field of study plus one (1) year of experience in the job offered or one (1) year of experience in Financial Modeling, Quantitative Analysis, or related occupation. The employer will alternatively accept a Master's degree plus two (2) years of experience in lieu of a Doctorate's degree and one (1) year.
Skills Required: This position requires one (1) year of experience with the following skills: advanced mathematics including linear algebra, numerical analysis, stochastic calculus, and optimization; advanced statistics theories including probability theory, linear and nonlinear regression, time series analysis, and Monte Carlo methods; and Python and C++. This position requires knowledge of performing quantitative modeling and research in scientific fields such as Mathematics, Physics, Statistics, Computer Science, or Bioinformatics which can be gained through professional experience or graduate level coursework.
Internal Number: 6547228
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