Mortgage Quantitative Analyst - AVP

We are seeking Quantitative Analyst (AVP) to join our Markets Quantitative Analysis team in New York City. This is a impactful role for an individual with expertise in RMBS securitized products and/or whole loans quantitative modeling. You will be responsible for driving the application of advanced analytics and machine learning within the securitized products business. You will collaborate closely with the trading desk. You will be expected to generate insightful data analysis and trade ideas, build sophisticated models, and harness enormous datasets for in-depth analysis of RMBS securities. You will build and deploy models and analytics using Python, SQL, and C++ with a strong emphasis on leveraging AI and ML tools. ## Responsibilities - Lead the development, implementation, and validation of sophisticated models to price and assess risk on RMBS pools/securities. - Apply advanced statistical and ML modeling to project prepayment, default rates, and other credit-related metrics, and to identify complex, actionable patterns within large financial datasets. - Directly support trading desk and F&S business by developing data analysis tools and reports. - Collaborate with other groups including risk management, technology, and the model validation group. ## Ideal Candidate - 1-3 years of experience developing forecasting models and/or prepayment and default models for pricing and risk management for RMBS securities. - Experience working directly with trading and F&S desks and providing analytical support for various trading activities. - Experience working with various mortgage databases such as eMBS, McDash, LoanPerformance and Fannie/Freddie Credit Risk transfer, and the ability to develop data analysis tools and reports. - Expertise with cashflow analytics tools such as Yield Book, Bloomberg and Intex. - Significant, expert-level experience in programming including Python, C++, SQL, machine learning frameworks (e.g., Scikit-learn, TensorFlow, PyTorch). - Possesses excellent communication skills, with the ability to explain complex quantitative concepts to senior stakeholders. ## Education - Graduate degree (Masters or PhD) in Computer Science, Mathematics, Physics, Engineering, or another quantitative field.Other job-related duties may be assigned as required.