Lead Quantitative Modeler - Prepayment Models

Job description

As a valued colleague on our team, you will act as team lead while conducting theoretical and empirical research with public and proprietary data in all areas of the mortgage finance business. This may include mortgage products and securities, borrower behavior, investment and hedging strategies, residential property valuation, macroeconomic models, including housing prices and interest rate, financial valuation of finance assets and derivatives, economic capital, and stress testing.

Additionally, you will coach and mentor team members. You will be responsible for leveraging expertise in economics, statistics (with a focus on time-series modeling), and advanced machine learning to develop predictive models, optimize risk management strategies, and drive actionable insights. You will also act as team lead while conducting theoretical and empirical research with public and proprietary data in all areas of the mortgage finance business.

THE IMPACT YOU WILL MAKE The Lead Quantitative Modeler - Prepayment Models role will offer you the flexibility to make each day your own, while working alongside people who care so that you can deliver on the following responsibilities: Lead teams in providing innovative, thorough, and practical solutions that support business strategies and initiatives and in conducting or assessing ad hoc quantitative analyses, modeling, or programming using Python, SQL, R, or SAS.

Coach and mentor team members in utilizing data mining and/or statistical techniques to develop analytic insights, sound hypotheses, and informed recommendations. Identify opportunities to apply quantitative methods to improve business performance. Apply advanced skill, knowledge, and/or experience while leading teams to complete modeling projects aligned with established company policies and industry-wide modeling practices.

Contribute to developing validation or testing strategies and assessing the quality and risk of model methodologies, outputs, and processes and applying understanding of relevant business context to interpret model results, monitor performance, and assess risks. Communicate technical subject matter clearly and concisely to department leadership and teams. Conduct in-depth analysis of economic indicators, market trends, borrower behavior, and macroeconomic factors to inform modeling assumptions, parameter estimates, cash-flow forecasts, and scenario analysis.

Support the development and implementation of retained portfolio whole-loan behavioral and cash-flow models, with emphasis on non-performing (NPL) and re-performing (RPL) loans. Build and evaluate model-ready loan-level datasets and perform variable selection, calibration, in-sample/out-of-sample backtesting, benchmarking, sensitivity testing, and model performance analysis. Translate behavioral model outputs into cash flows and assess impacts on valuation and risk measures such as duration, key-rate duration, and convexity; reconcile and benchmark results across models and implementations.

Support the development and implementation of MBS prepayment models. Apply AI/ML-enabled tools and advanced analytical techniques, where appropriate, to accelerate model research, coding, testing, documentation, and implementation while maintaining appropriate controls and model governance. Collaborate closely with cross-functional teams, including business stakeholders in Capital Markets, data scientists, economists, and risk managers to gather requirements, define project scope, and drive model development efforts.

Develop and maintain documentation, code repositories, and model validation reports in compliance with regulatory requirements and internal policies. Stay current with emerging trends, methodologies, and best practices in quantitative finance, econometrics, statistics, and machine learning, and apply them to enhance modeling capabilities and stay ahead of the curve.