Sr. Quantitative Model Development Analyst

04 Products Platform Rosslyn-Arlington, Virginia


Description

About RiskSpan

RiskSpan is a product as well as a management consulting firm, a leading source of analytics, modeling, data and risk management for the Consumer and Institutional Finance industries. We solve business problems for clients such as banks, mortgage-backed and asset-backed securities issuers, equity and fixed-income portfolio managers, servicers, and regulators that require our expertise in the market risk, credit risk, operational risk and information technology domains. Our focus is on fostering a high -performance culture with work life balance, one that develops a top-notch talent pool with the skills and determination to deliver above and beyond.

Primary Responsibilities

  • Development of internal, proprietary predictive models in Python and/or C++
  • Design, develop, document, and maintain new prepayment and credit models for MBS and ABS
  • Partner with development team to drive implementation and enhancements to models within RiskSpan’s analytic platform
  • On-going maintenance, calibration, and testing of existing models, including benchmarking and back testing
  • Development and maintenance of high-quality model documentation.
  • Communicate models, methodology, and research in clear and concise ways to internal stakeholders and external clients
  • Provide support to sales efforts by developing marketing materials on models and engaging clients in sales calls and demos

Qualifications:  

  • Master’s or higher degree in a STEM subject
  • Proficient in Python and/or C++ programming
  • 4+ year experience with statistical data analysis
  • 1+ years of MBS prepayment and/or credit modeling experience
  • Experience in AWS cloud native technologies
  • Experience using quantitative analysis methods used in financial institutions.
  • Ability to think independently, prioritize work and meet deadlines
  • Excellent written and verbal communication skills with a focus on explaining model methodology to both internal and external clients
  • Ability to create presentations and reports, oral and written, for diverse business audiences

Preferred Qualifications:

  • PhD in Statistics, Physics, Economics, Mathematics, Financial Engineering, Operations Research, Finance etc.
  • Knowledge of RMBS modeling (prepayment and/or default) for mortgage/auto/credit card 
  • Prefer experience and knowledge of mortgage risk analytics and return attribution
  • 4+ years of MBS prepayment and/or credit modeling experience
  • 4+ year of experience manipulating and analyzing large data sets
  • 4+ years of experience using Python for model research and development: NumPy, SciPy, Pandas, StatsModels
  • Knowledge of Fixed income valuations; experience in mortgage industry preferred

RiskSpan is proud to be an Equal Opportunity/Affirmative Action employer committed to hiring a diverse workforce and sustaining an inclusive culture. Qualified candidates must be legally authorized to be employed in the United States on an unrestricted basis