Senior Quantitative Analyst (Mortgage Servicing)

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

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