VP Mortgage Quant

Role: VP Mortgage QuantFirm: Investment Bank, NYThe Front Office Mortgage Quant team is hiring a Mortgage Quant accountable for a comprehensive range of quantitative, analytical, technical, and development tasks that support the mortgage trading desks. The primary objective is to provide traders, senior leadership, and external control teams with the models, tools, analytics, reports, market data, and insights needed to price, execute, and hedge new transactions, as well as to assess, monitor, and manage ongoing risks. Main duties include:Creating new mathematical and computational techniques for pricing deals, managing risk, and incorporating models into internal systems and front-office applications.Maintaining the existing collection of models in the internal library.Working with tools such as Intex, PolyPaths, Yield Book, AD&Co LoanDynamics Model, mortgage modelsRMBS or CMBS modeling; Agency or Non-Agency prepayment, default, or severity modeling experienceAssisting traders in leveraging the library for daily pricing and risk control.Collaborating with external control teams to support their understanding and use of models.Collecting, structuring, and analyzing market and trade data to generate a variety of reports, from high-level summaries to detailed transaction-level insights.Engaging in discussions with traders, senior leadership, and risk managers regarding deal modeling, pricing strategies, hedging, risk measurement, and overall risk management.Required Skills and Qualifications:Advanced academic background in a technical discipline (e.g., mathematics, physics, statistics, engineering, computer science).At least 4 years of professional experience.Broad understanding of mortgage and other asset-backed products, pricing methodologies, industry best practices, and market data sources.Familiarity with industry tools such as Intex, PolyPaths, Yield Book, AD&Co LoanDynamics Model, andor BAM mortgage models is considered a strong asset.Experience with RMBSCMBS models.Proficiency in software development languages such Python, C++, etc.Advanced skills in Excel, including scripting and efficient spreadsheet design.Strong technical writing skills.Excellent communication capabilities, with the ability to effectively engage with a broad spectrum of colleagues, including technical professionals, traders, marketers, senior leadership, back-office staff, and risk management teams.

Created: 2025-03-02