Director - Quantitative Modeling - Financial Services Firm

Company: One of the largest Financial Services Company

Position: Director

Responsibilities:

- Develop robust and comprehensive models using advanced statistics and algorithmic programming

- Provide model validation and monitoring support across capital markets

- Aggregate and analyze large data sets to be used in assumption and model validation

- Develop streamlined model performance and tracking reports

- Develop and maintain models related to the portfolios prepayments, self-cure, re-defaults and customer complaints metrics

- Support ongoing back-testing of existing models, as well as identify any strengths and weaknesses

- Support the documentation of model methodology, inputs, and outputs for the purpose of audit and review

- Support risk management through development and maintenance of statistical analyses that measure and model the behavior of mortgage assets

- Leverage macro-economic fundamentals to explain behavior under changing economic conditions for the purpose of scenario analysis and stress testing

- Analyze hedge activity, including interest rate risk inherent to financial instruments

- Assist in evaluating and engineering hedge programs

- Create enhanced analytics to facilitate the decision-making of multiple sale options (ex: securitization or whole loan)

- Leverage third party models were necessary to measure asset behavior

- Conduct strategic research and analysis for executive management by request

- Conduct ad hoc research and reports for the valuation & analytics teams

- Measure the dynamics of the MSR portfolio to changing macro-economic conditions

- Develop strategies to maintain data integrity and business workflow efficiency within Capital Markets and other departments.

- Provide recommendations for continuous improvement of the departments reports, processes, policies and procedures.

- Looking for candidates with experience in quantitative modeling and machine learning