MBS (Prepayment Models)/Structured Products-Model Validation (PhD)

3 weeks ago


Dallas, United States Analytic Recruiting Full time

A Major financial firm with offices in Dallas is seeking a mortgage prepayment and default modeler to work on residential prepayment models (RMBS) and other structured products. The successful candidate will review, verify, and validate existing risk, trading, and portfolio models for theoretical soundness and provide analytic risk support and analysis of the firm's extensive fixed income, derivatives, and structured products portfolio.

Responsibilities:

  • Provide independent expert opinions on models, analytics, numerical methods, and risk metrics
  • Lead independent model review and validation process for proprietary and third-party financial valuation models.
  • Lead quantitative analysis in support of the risk oversight, risk management, and modeling functions.
  • Design proper statistical and econometric tests to assess model performance.
  • Design processes for measuring and controlling model risk.
  • Plan and lead substantive reviews and validation of models used for in market and credit risk processes. Includes determining and conducting analysis of the model theory and structure, statistical estimation techniques, accuracy of implementation, and appropriateness for the business application.
  • Design and develop procedures for measuring and monitoring model performance, by creating risk metrics, thresholds, and reports to determine whether model performance is consistent with business objectives.
  • Lead quantitative analysis in support of the risk oversight, risk management, and modeling functions.
  • Design and develop methods for measuring risk and return relationships, such as value at risk and stress testing.
  • Communication of material related to model reviews and analyses to senior management, technical staff, and other internal and external stakeholders.
  • Understand current developments in models, financial theory, and industry practices to assist in the education and development of staff, and ensure that the firm's risk methodologies are consistent with best practice standards.

Requirements:

  • The ideal candidate will have 10+ years of experience working with RMBS, CMO, or ABS securities in a mortgage prepayment modeling capacity.
  • Candidates must have an advanced degree (PhD preferred) in a quantitative field with solid C++ programming skills, broad knowledge of pre-payment models and other fixed income products, experience working with (Algorithmics, Numerix, Polypath, Intex, SAS)and good communications skills.
  • This position requires a thorough understanding of the principles of quantitative credit risk modeling for mortgages. The preferred candidate will have a background in mortgage and capital markets related to the valuation of financial instruments, risk management, and/or model validation. Required skills include familiarity with econometric, statistical, and optimization techniques; strong programming skills; and strong communication skills.

Keywords: Model Validation, Prepayment Modeler, Valuation Models, Financial Modeling, CMBS, RMBS, Model Development

Please send resumes to Jim Geiger at jeg@analyticrecruiting.com



  • Dallas, United States Analytic Recruiting Inc. Full time

    A Major financial firm with offices in Dallas is seeking a mortgage prepayment and default modeler to work on residential prepayment models (RMBS) and other structured products. The successful candidate will review, verify, and validate existing risk, trading, and portfolio models for theoretical soundness and provide analytic risk support and analysis of...


  • Dallas, United States Analytic Recruiting Inc. Full time

    A Major financial firm with offices in Dallas is seeking a mortgage prepayment and default modeler to work on residential prepayment models (RMBS) and other structured products. The successful candidate will review, verify, and validate existing risk, trading, and portfolio models for theoretical soundness and provide analytic risk support and analysis of...


  • Dallas, United States Goldman Sachs Full time

    MORE ABOUT THIS JOB: Goldman Sachs Model Risk Management (MRM) is a multidisciplinary group of quantitative experts located in New York, Dallas, London, Warsaw, Hong Kong, and Bangalore. MRM is responsible for independent oversight and approval of all the firms quantitative models, ensuring compliance with both internal and supervisory standards. There are a...


  • Dallas, United States Hamlyn Williams Full time

    Senior Credit Risk Model Validator . Your job The Senior Model Validator is a member of the Credit Risk Model Validation team. The Senior Model Validator has in-depth specialist knowledge of credit risk models, methodologies, regulations and business, as well as of the relevant processes. Having exposure to internal and external stakeholders, it is...

  • Senior Modeler

    5 days ago


    Dallas, United States First Investors Financial Services Full time

    Stellantis Financial Services (SFS) is the new captive finance company for one of the world's leading automakers and a mobility provider with iconic brands including Abarth, Alfa Romeo, Chrysler, Citroën, Dodge, DS Automobiles, Fiat, Jeep, Lancia, Maserati, Opel, Peugeot, Ram, Vauxhall, Free2move and Leasys. Our exciting growth provides opportunities to...


  • Dallas, United States UPLAND CAPITAL GROUP INC Full time

    Primary Function: Our Data Science and Actuarial model environment and architecture is containerized, and we are cloud based, running on Azure. We aim to be completely automated processes to build, provision, and deploy our models and products. Our models will range from standard AI and ML models, to RL, to Bayesian simulation models which will require...


  • Dallas, United States Bluestone Search Full time

    Our client, a Private Credit fund based in Dallas, TX, is looking for a Quantitative Associate to support the growth of its residential whole loan and securitization fund. The team focuses on structured finance, distressed debt, and real estate assets. This is a great opportunity for individuals with a quantitative finance background in the MBS space to join...


  • Dallas, United States Bluestone Search Full time

    Our client, a Private Credit fund based in Dallas, TX, is looking for a Quantitative Associate to support the growth of its residential whole loan and securitization fund. The team focuses on structured finance, distressed debt, and real estate assets. This is a great opportunity for individuals with a quantitative finance background in the MBS space to join...


  • Dallas, United States Bluestone Search Full time

    Our client, a Private Credit fund based in Dallas, TX, is looking for a Quantitative Associate to support the growth of its residential whole loan and securitization fund. The team focuses on structured finance, distressed debt, and real estate assets. This is a great opportunity for individuals with a quantitative finance background in the MBS space to join...

  • Senior Modeler

    6 days ago


    Dallas, United States Stellantis Financial Services US Full time

    Stellantis Financial Services (SFS) is the new captive finance company for one of the world's leading automakers and a mobility provider with iconic brands including Abarth, Alfa Romeo, Chrysler, Citro n, Dodge, DS Automobiles, Fiat, Jeep , Lancia, Maserati, Opel, Peugeot, Ram, Vauxhall, Free2move and Leasys. Our exciting growth provides opportunities to...


  • Dallas, United States Analytic Recruiting Full time

    A mid-sized financial Institution in Dallas is seeking a MBS Portfolio & Hedging Manager to be responsible for assisting in the management of investment securities portfolio and in the execution of derivatives hedging strategy. The position works closely with Asset/Liability management team and ALCO to design and execute the optimal derivatives strategy in...


  • Dallas, United States Analytic Recruiting Inc. Full time

    A mid-sized financial Institution in Dallas is seeking a MBS Portfolio & Hedging Manager to be responsible for assisting in the management of investment securities portfolio and in the execution of derivatives hedging strategy. The position works closely with Asset/Liability management team and ALCO to design and execute the optimal derivatives strategy in...


  • Dallas, United States Analytic Recruiting Inc. Full time

    A mid-sized financial Institution in Dallas is seeking a MBS Portfolio & Hedging Manager to be responsible for assisting in the management of investment securities portfolio and in the execution of derivatives hedging strategy. The position works closely with Asset/Liability management team and ALCO to design and execute the optimal derivatives strategy in...


  • Dallas, TX, United States Goldman Sachs Full time

    Goldman Sachs Model Risk Management (MRM) is a multidisciplinary group of quantitative experts located in New York, Dallas, London, Warsaw, Hong Kong, and Bangalore.  MRM is responsible for independent oversight and approval of all the firm’s quantitative models, ensuring compliance with both internal and supervisory standards. There are a wide variety...

  • Structural Engineer

    2 days ago


    Dallas, United States Strategic Systems Full time

    Job Title: Structural Engineer (hybrid work model) Location: Dallas, TX Duration: Full time Position Summary You will be responsible for designing structural building systems and preparing detailed structural engineering drawings and calculations. Responsibilities will also include construction administration services and collaboration with architectural...


  • Dallas, United States UPLAND CAPITAL GROUP INC Full time

    Full Time Employment Opportunity Primary Function: Our Data Science and Actuarial model environment and architecture is containerized, and we are cloud based, running on Azure. We aim to be completely automated processes to build, provision, and deploy our models and products. Our models will range from standard AI and ML models, to RL, to Bayesian...


  • Dallas, United States UPLAND CAPITAL GROUP INC Full time

    Full Time Employment Opportunity Primary Function: Our Data Science and Actuarial model environment and architecture is containerized, and we are cloud based, running on Azure. We aim to be completely automated processes to build, provision, and deploy our models and products. Our models will range from standard AI and ML models, to RL, to Bayesian...


  • Dallas, United States UPLAND CAPITAL GROUP INC Full time

    Job DescriptionJob DescriptionFull Time Employment OpportunityPrimary Function:Our Data Science and Actuarial model environment and architecture is containerized, and we are cloud based, running on Azure. We aim to be completely automated processes to build, provision, and deploy our models and products. Our models will range from standard AI and ML models,...


  • Dallas, United States UPLAND CAPITAL GROUP INC Full time

    Job DescriptionJob DescriptionFull Time Employment OpportunityPrimary Function:Our Data Science and Actuarial model environment and architecture is containerized, and we are cloud based, running on Azure. We aim to be completely automated processes to build, provision, and deploy our models and products. Our models will range from standard AI and ML models,...

  • ACL Model Officer

    5 days ago


    Dallas, United States Origin Bank Full time

    Summary: Responsible for the administration of the allowance for credit losses (ACL) model and testing function to maintain compliance with related SOX controls.  Knowledge of Allowance for Credit Losses (ACL) accounting and methodology required.Duties and Responsibilities include the following.Monitors and Maintains Compliance with related SOX Controls...