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Director, Quantitative Prepay Modeler Job Details

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Employer:  E-Trade Financial Corp.
Job Ref No:  IRC131238
Job Title:  Director, Quantitative Prepay Modeler
Risk Type:  Market


E*TRADE is a leading financial services company and a pioneer in the online brokerage industry. Having executed the first-ever electronic trade by an individual investor more than 30 years ago, the company has long been at the forefront of the digital revolution, offering easy-to-use solutions for individual investors and stock participants. Founded on the principle of innovation and determined to level the playing field for individual investors, E*TRADE delivers digital platforms, tools, and professional assistance to help investors and traders meet their near-and long-term investing goals. The Company provides these services both online and through its network of customer service representatives and financial consultants - over the phone at two national branches and in-person at 30 E*TRADE branches.

This role reports to VP, Market Risk Quantitative Analysis. Initially, this individual will build the mortgage prepayment models for the bank's fixed income securities portfolio. The models will be used primarily for interest rate risk management and asset-liability management (ALM). As a member of quant analysis team, this individual will be involved in other projects such as building and maintaining stress testing models for other areas of the firm's business.

* Build new prepayment models for bank's portfolio of fixed-income securities, such as residential and commercial MBS
* Develop tools to monitor mortgage portfolio performance
* Support first line risk function as needed
* Support system development and enhancements, collaborate with IT in deployment of analytical tools
* Participate in other modeling projects such as DFAST and internal stress testing
* Working in a small team, build models end-to-end from data acquisition through implementation in the firm's ALM and reporting systems, support complete life cycle of a model
* Assist a model risk group in model validation

* At least 5 years of hands-on experience modeling mortgages and MBS
* Solid understanding of industry practices in modeling mortgage prepayments and other aspects of borrower behavior such as delinquencies and defaults
* Understanding of structured finance, such as MBS cash flows
* Graduate degree in Finance, Economics or related quantitative field
* Coding with statistical or mathematical packages such as R and SAS
* Knowledge of risk management techniques and quantitative tools, such as VaR
* Self-directed and motivated to solve urgent problems by conducting ad hoc analysis and/or reaching out to other departments as necessary
* Excellent problem solving analytical skills, detail-orientation, independent thinking, and organizational skills
* Recognized risk management certification such as FRM or PRM, or willingness to obtain it within 2 years of employment

We offer a competitive and comprehensive benefits package.
Employment Type:  Full Time
Region/Country:  Americas, United States
States/Counties:  Virginia
City:  Arlington

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