The Home Point Asset Management Team is responsible for the development and implementation of Investment strategies in the Residential Mortgage sector with a focus on Mortgage Servicing Rights and other residential mortgage related assets. We are looking for a Managing Director, Quantitative Analytics to join our growing team and develop models for pricing, asset valuation, derivatives, cash flow, prepayment, and default for mortgage servicing rights and other mortgage related assets.
A successful candidate must have excellent statistical modelling, financial modeling/financial engineering, and programming skills expertise as well as strong background in prepayment and default modeling of residential mortgage assets. Candidate must also be familiar with MSR valuation, OAS framework, and risk analysis.
Key duties and responsibilities of this position include, but may not be limited to:
- Design, estimate, implement, test, document and maintain pricing and valuation models for MSRs, Whole Loans, RMBS, and credit/interest derivatives. Extensive experience in MSR pricing (flow and bulk), prepay/default risk modeling, term structure modeling, OAS valuation and relative value analysis.
- Responsible for analyzing asset performance, attribution, and risks.
- Assist in the development of investment, risk management and hedging strategies.
- Assist with monthly and quarterly performance reporting of the managed portfolio.
- Handle and evaluate extensive varied databases from multiple internal and external sources.
- Collaborates with Transaction Management, servicing oversight, IT and Finance teams by sharing data and information as well as provides support for day to day operations.
- Doctorate degree with at least 3 years or Masters degree with at least 6 years of quantitative development, financial engineering, statistics, predictive modeling, data science and computer programing
- A PhD or Masters degree in a quantitative field such as mathematics, finance, statistics, engineering, physics, economics
- Programming skills e.g. SAS, VBA, R, Python, SQL, C#.
- Knowledge of Fixed Income Products such as mortgage servicing rights, mortgage backed securities, mortgage derivatives, asset backed securities and residential mortgages.
- Familiarity with process automation and distributed computing
- Current/prior mortgage banking environment experience
- Current/prior experience working with mortgage valuation models
- Experience in statistical analysis of financial problems.