Newsworthy

​Role Summary & Responsibilities

• Ability to evaluate and integrate 3rd party vendor prepayment model and has the ability to develop internal proprietary model if necessary
• Experience in Mortgage prepayment and default modeling; credit, securitized and structured products. Agency/Non-Agency RMBS, CMBS, ABS (pricing, risk, VaR, stress testing, CCAR etc.).
• Term structure modeling and risk-neutral valuation of mortgage backed securities (TBA, TBA Options/CMM, spec pools, CMOs and derivatives): curve fitting, interest rate models, volatility calibration, agency prepayment models.
• good understanding of stochastic interest rate model and have ability to integrate internal interest rate model into mortgage platform
• Advise and work with team to obtain new models approval to use from Model governance.
• Advise if model as defined to support trading is fit for purpose of risk management requirements
• Build quantitative tools to facilitate development, calibration, testing and validation of new prepayment models.
• Support trading desk activities and build desk analytics tools

Your experience and skills
• MBS/RMBS/ABS/CMBS modeling, analytic and pricing. MBS prepayment model, default and loss models
• Intex calc and Intex wrapper (API)
• Extensive modeling knowledge and work experience with MBS, RMBS, CMBS, ABS and non-agency mortgages.
• Proficient in statistical and econometrics modeling
• Proficient in programing skill

You are:
• PHD in Finance, Engineering, or Computer Science
• min 5 year experience in job offered or related fixed income quantitative research occupation with specialization in securitized and structured products for top-tier investment banks or asset management firms
• with specific experience in C/C++, VBA, R, SAS, SQL, Oracle, Sybase, Intex , Intex Wrapper, Agency prepayment models and Loan performance data​