Job listing
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MBS Quant Researcher
Dallas, TX 300-500KQuantitative Researcher to contribute to the continued growth and success of our residential loan and securities business. The candidate will interact with all teams such as Transaction Management, Finance, Portfolio Management and Asset Management, in addition to the head of the Firm.
Responsibilities:
• Actively participate in all trading activities related to U.S. residential mortgages, from bid evaluation, acquisition, disposition, and securitization.
• Conduct empirical analysis on mortgage performance including prepayment, default, loss severity from large scale of loan level performance data.
• Design and implement model performance metrics like back tests, sensitivity, and scenario analysis.
• Maintain and enhance existing pricing engine based on market dynamics.
• Assist with valuation process on whole loan and securities.
• Work on the infrastructure build-out associated with the portfolio management.
• Analyze and summarize macroeconomic indicators, such as housing and demographic trends and closely monitor housing related regulations and jurisdiction development.
• Work closely with trading and financing counter parties to evaluate and explore financing options and capital market executions.
• Work with whole loan transaction management team to track live trade due diligence and closing processes.
• Assist finance team in reconciling and processing monthly whole loan servicer remittance tapes.
• Assist in day-to-day repo financing for securities and monthly warehouse financing for loans.
• Compare various financing options including securitized deal execution.
• Managing daily risk position and portfolio P&L.
• Optimizing loan portfolios for sale and securitization.
• Design/deploy reports such as investment portfolio analysis and fund performance analysis for Senior Management review.
• Other duties as assigned.
Qualifications:
• Master's degree in Engineering (any), Computer Science, Information Technology, Mathematics, or related field.
• 3-5 years of experience in the job offered or a related occupation.
• Proficiency in Python and working knowledge in packages such as Pandas, Numpy, Scikit-learn.
• Solid knowledge in statistical modelling, financial mathematics including statistical model development, Monte Carlo simulation, mortgage analytics, etc.
• Hands on experience in manipulating large scale of data set.
• Proficiency in Excel and financial modelling such as NPV.
• Prior experience with structured products, especially residential mortgages, securities and structuring is strongly preferred.
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