Mortgage Modeler, Vice President/Executive Director

Morgan Stanley Wealth Management Strategists and Modeling group is seeking a Vice President/ Executive Director level mortgage modeler for our mortgage model development team. The position covers conforming and non-conforming mortgage prepayment and default modeling, and model implementation. Desk Strategists (Strats) support revenue-generating activities and reside within our Wealth Management businesses, covering a wide range of financial products including bank deposits, mortgage lending, retail and margin lending, and investments. We have an opening for a qualified individual to join our fast paced work environment.
New team member will collaborate with product teams, the banking business and bank CIO on pricing strategies, new product offerings and risk analysis. Strats will be responsible for the creation of product risk and valuation models, as well as on-demand tools to better identify market opportunities.
Responsibilities include:

• Determine requirements and create valuation and risk management models that feed the Firm's books and records for the bank's holdings.
• Monitor and analyze the effectiveness of current valuation and risk models, and make enhancements as needed.
• Develop and apply analytics using advanced mathematical, statistical, quantitative, or econometric techniques.
• Collaborate with portfolio managers to analyze and advise on managing the risk of positions currently on the bank's balance sheet as well as future growth.
• Ensure compliance with regulatory requirements such as CCAR.

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Qualifications:

• Ph.D. degree preferred in Statistics, Economics, Finance, Data Science, Mathematics, Physics, Engineering or other quantitative/computational field.
• 5+ years of experience building end-to-end loan-level non-agency or pool-level agency prepayment and default models
• Strong hands-on technology skills are a core requirement ( e.g., statistical packages such as R, Python/PySpark, SAS, and C++ programming).
• Experience with handling large datasets and performing data analytics.
• Effective communication & collaboration skills are required.

This role requires that all successful applicants be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccinations within 3 days of commencement of employment
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