Quantitative Credit Risk Modeling Expert

3 weeks ago

Washington, Washington, D.C., United States Analytic Recruiting Inc. Full time

About the Role

We are seeking a highly experienced Quantitative Credit Risk Modeling Expert to join our team at Analytic Recruiting Inc.

Job Summary:

The ideal candidate will have 10+ years of experience working with RMBS, CMO, or ABS securities in a mortgage prepayment modeling capacity. They will be responsible for leading independent model review and validation process for proprietary and third-party financial valuation models, as well as designing proper statistical and econometric tests to assess model performance.

Key Responsibilities:

  • Lead independent model review and validation process for proprietary and third-party financial valuation models.
  • 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.
  • Design and develop procedures for measuring and monitoring model performance.
  • Lead quantitative analysis in support of the risk oversight, risk management, and modeling functions.
  • Design and develop methods for measuring risk and return relationships.
  • Communication of material related to model reviews and analyses to senior management, technical staff, and other internal and external stakeholders.

Requirements:

  • PhD 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.
  • Good communication skills.

Preferred Qualifications:

  • Thorough understanding of the principles of quantitative credit risk modeling for mortgages.
  • Background in mortgage and capital markets related to the valuation of financial instruments, risk management, and/or model validation.
  • Familiarity with econometric, statistical, and optimization techniques.
  • Strong programming skills.
  • Strong communication skills.

About the Salary:

The estimated salary for this role is $180,000 - $220,000 per year, based on industry standards and location.

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