Quantitative Risk Modeller

Risk Management Modeller - Top Financial Firm - NC This Global Mortgage division, based in North Carolina, is looking for a Risk Modeller to assist in building and implementing prepayment and default models. JOB RESPONSIBILITIES: - Build and improve forecasting accuracy of prepayment and default models - Test, validate, and document model updates - Implement model updates and integrate with existing processes - Develop and implement appropriate quantitative techniques to measure enterprise wide risk including insurance, housing, interest rate, credit, operational, and other risks - Provide scenario, sensitivity analysis, what-if analysis, and other analysis as required - Research state-of-the art solutions available internally and externally - Launch proof-of-concept test and validate various options - Collaborate with various stakeholders including teams in Risk, Finance, and IT BASIC REQUIREMENTS - Master's Degree or PHD in a quantitative discipline - Thorough understanding of and demonstrated experience with statistical methodologies including least squares, logistic regression, and time-series forecasting - 5+ years of relevant work experience in mortgage modelling - Work experience related to MBS/ABS, Credit enhancement of structured transactions, and Economic Capital. - Advanced proficiency in programming with SAS and Excel - Worked with large, complex data sets including time-series data - Strong communication, presentation, and collaboration skills

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