Quantitative Financial Mathematician / Trader
This position will be responsible for providing quantitative support to the Mortgage Hedging Program and other company products or services as required. Ongoing responsibilities will include volatility surface calibration, profit & loss attribution, calibration of derivative valuation models, and optimal hedge analysis. The candidate should be familiar with Interest rate derivatives, interest rate term structure models, interest rate option models, and volatility surface construction, risk-neutral valuation, Monte Carlo processes, and backtesting and risk analysis. The ideal candidate will specifically use specialized knowledge gained by either extensive work experience in the Quantitative Finance field or have successfully earned a Master’s Level degree program in Math Finance from an accredited University. The ideal candidate will have a strong quantitative finance background, apply quantitative analysis and statistical modeling to home mortgages. Manage complex modeling projects in the model life cycle - empirical model development, monitoring, maintenance, documentation, and governance. Conduct complex statistical evaluations and quantitative modeling for mortgage prepayments, mortgage rates, mortgage delinquencies and foreclosures, mortgage production. perform valuation modeling and mathematical modeling techniques and model backtesting. Investigate complex issues and provide information and data to senior leaders. Basic Qualifications • Bachelor’s degree in Finance, Accounting, Statistics, Mathematics, or Engineering • Excellent mathematical and analytical skills • Excellent Python, C++ programming skills • Ability to resolve complex problems in a short time frame • Strong skills in Microsoft Excel, Access • Ability to work under pressure and in a high paced environment • Self-motivated Preferred Skills/Experience • Master of Financial Mathematics/Financial Engineering or other relevant quantitative degree preferred • Knowledge of financial analysis, forecasting, and planning • Expert ability to identify and resolve exceptions and to interpret • Extensive knowledge of derivative products • Knowledge of restful API, Mchine Learning techniques • Comfortable working in a trading atmosphere • Excellent communication and decision making skills • Experience with one of the following: C++/C#, Python, Javascrip