VP/Director – Mortgage Quant Strat

VP/Director – Mortgage Quant Strat

Requirements

• Excellent programming skills in python, sql and C++ preferred.
• Proven experience within a relevant quant/finance field.
• Excellent communication skills.
• Excellent mathematical skills.
• Master’s degree in related field or equivalent work experience.

Responsibilities

• Global Quantitative team providing solutions across regions of business and asset classes.
• The role is a front office business focused role, and involves working with mortgage research and trading partners on a daily basis.
• The candidate will work on a very wide range of projects including data analytics, statistical and machine learning based modelling, e-trading and hedging projects with the trading desk.
• The role involves hands on programming experience in SQL and Python.
• Working entirely in Front Office alongside mortgage quant colleagues & trading specialists.
• Support mortgage traders, research strategies and operational trading tools.
• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers.
• Leads the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization.
• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation.
• Maintains and provides oversight of model development and model risk management in respective focus areas to support business requirements and the enterprise’s risk appetite.
• Leads and provides methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk.
• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes.
• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches.

Preferred Qualifications

• Masters or PhD or equivalent level preferred.
• Mortgage experience preferred, good business and modeling knowledge across asset classes.
• Prior experience working in front office is preferable.