Quantitative Risk Analyst (M.S.)- Mortgage Models

Employer
Analytic Recruiting Inc.
Location
New York, USA
Salary
Competitive
Posted
Jun 20, 2017
Closes
Jul 27, 2017
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors

A major NY based financial firm is looking for a junior quantitative analyst to analyze credit and collateral data for mortgage default risk for its residential mortgage trading and finance business.

 

Responsibilities:

  • Build and analyze credit and liquidity risk analytics
  • Improve data gathering and data analytics capabilities
  • Work on improving credit risk models and related databases
  • Monitor the credit and counterparty risk of the RMBS investment portfolio, and counterparty collateral

 

Requirements:

  • MS is a Quantitative Field-Math, Stats, Engineering
  • 1-3 years of Structured Products experience, (MBS, CMBS, ABS, Derivatives)
  • Must have experience working with MBS and Whole Loan prepayment models
  • Must have strong programming (Python, SQL, C or C++, or Java, and VBA)
  • Must have statistical programming experience (Matlab, R, SAS)
  • Nice to have: Credit Risk Modeling -Forecasting and Time Series Modeling experience
  • Nice to have: CFA or FRM
  • Must be a US Citizen or Permanent Resident

 

Keywords: Credit Risk, Collateral Analysis, Prepayment Modeling, RMBS, Whole Loans, Scripting Languages, Forecasting Models

 

Please refer to Job #22717 - and send MS Word attached resume to jeg@analyticrecruiting.com