Director, Senior Front Office Prepayment and Credit Quant

RBC New York, NY $210,000 - $275,000

Full Time Director Level 7+ years

Posted 1 month ago Expired

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About This Role

This role involves developing, implementing, and maintaining mortgage prepayment and credit models and pricing tools. The individual will provide analytic support for the front office's acquisition, management, and disposal of whole loans and MBS.

Responsibilities

Apply quantitative and programming skills to research, develop, test, and implement mortgage prepayment and credit models
Build and maintain agency and non-agency mortgage prepayment and default models
Build front office analytic tools for trading and risk
Proactively identify operational risks/ control deficiencies in the business
Review and comply with Firm Policies applicable to business activities
Escalate operational risk loss events, control deficiencies and risks that you identify to your line manager and the relevant risk and control functions on a timely basis

Requirements

PhD in Mathematics, Statistics, Computer Science, Engineering, Physical Sciences, or other numerate discipline
7+ years' experience in securitized products model development including prepayment and credit modeling
Excellent skills and hands-on experience in model design and coding
Excellent knowledge of MBS (agency/non-agency)

Qualifications

PhD in Mathematics, Statistics, Computer Science, Engineering, Physical Sciences, or other numerate discipline
7+ years' experience in securitized products model development including prepayment and credit modeling