The Portfolio Management Team is responsible for the development and implementation of Investment strategies in the Residential Mortgage sector with a focus on Mortgage Servicing Rights (MSR). We are looking for a Senior Quantitative Analyst to join our growing team and influence investment decision making through statistical analysis and financial modeling. The Senior Quantitative Analyst will lead the development/management of cash flow, prepayment/default and interest rate models for mortgage servicing rights and other mortgage related assets. A successful candidate must have excellent statistical modelling, financial modeling/financial engineering, and programming skills expertise as well as strong background in prepayment and default modeling of residential mortgage assets. The candidate must also be familiar with fixed-income markets, OAS framework and risk analysis. Key duties and responsibilities of this position include, but may not be limited to:

• Spearhead the development of analytics and predictive modeling related to MSRs and other mortgage related assets.
• Manage monthly/quarterly portfolio performance reporting and attribution analysis. Perform risk analysis on key valuation drivers and stress scenarios
• Assist in investment/hedging strategy development by utilizing data mining and predictive modeling techniques
• Research MSR flow pricing elasticity and develop models for volume vs return optimization
• Train statistical models based on new data and recent developments in the market. Regularly monitor model performance and make updates when necessary
• Maintain MSR pricing and valuation models within Polypaths. Work with Data Scientist Team to enrich data inputs, enhance data accuracy and automate processes
• Support portfolio manager in presentation and communication of performance data, and contextualize the data against peer data, historical averages, or other objective data points
• Responsible for documenting valuation assumptions, tuning updates and model issues
• Lead system/model/data infrastructure upgrades to reduce turnaround time, mitigate operational risks/costs, and increase forecast accuracy
• Partners with the Portfolio Manager and the Executive team in the development and implementation of investment strategies, Balance Sheet management plans and capital structure optimization strategies
• Collaborate with Transaction Management, Servicing Oversight, IT and Finance teams by sharing data and information as well as provides support for business-oriented communications

Required Qualifications

• Master’s degree with at least 3 years, or bachelor’s degree with at least 5 years, of quantitative development, financial engineering, statistics modeling, data science and computer programing
• Master’s or bachelor’s degree in a quantitative field such as mathematics, statistics, engineering, physics and economics
• Programming skills e.g. SAS, R, SQL, VBA, Python
• Excellent knowledge of fixed-income products such as mortgage servicing rights, mortgage backed securities, mortgage derivatives, asset backed securities and residential mortgages
• Extensive experience in prepay/default risk modeling, term structure modeling, OAS valuation and relative value analysis
• Familiarity with process automation and distributed computing
• Strong problem-solving skills, including ability to formulate solutions to non-routine problems
• Self-motivated and capable of working independently
• Strong attention to detail
• A demonstrated and proven ability to multi-task and meet deadlines in a fast-paced deadline-driven and constantly changing environment

Preferred Qualifications

• Current/prior mortgage banking environment experience
• Current/prior experience working with mortgage valuation models
• Experience in Vendor models e.g. Polypaths, MIAC WinOAS, AD&Co, QRM
• Experience using market data and trading platforms such as Bloomberg, Reuters, or TradeWeb
• Superior oral and written skills, and ability to communicate complex information effectively

Equal Opportunity Employer This employer is required to notify all applicants of their rights pursuant to federal employment laws. For further information, please review the Know Your Rights (https://www.eeoc.gov/poster) notice from the Department of Labor.