Model Risk - Securitized Products

About the role

A VP-level position in the Model Validation Group, responsible for validating models used across the Agency mortgage and securitized products businesses.

Responsibilities

• Evaluate model conceptual soundness, ongoing monitoring frameworks, and model outcomes to assess appropriateness for intended use.
• Identify, analyze, and quantify potential model risk, including sensitivity to assumptions, calibration accuracy, performance stability, and robustness of model outputs.
• Produce comprehensive model validation documentation, including validation findings and risk-based assessments of model limitations and assumptions.
• Present validation results and risk assessments to senior management, model risk governance committees, and business stakeholders.
• Build collaborative partnerships with stakeholders while maintaining independent and principled challenge.

Qualifications and required skills

• Ph.D. in a quantitative discipline (Statistics, Mathematics, Economics, or a related field) strongly preferred. A Master's degree with exceptional relevant experience will be considered.
• 3–5 years of experience in model validation or a front-office quantitative group at a major financial institution.
• Hands-on experience working with mortgage pool- and loan-level performance data to identify behavioral drivers of prepayment and default.
• Proven ability to build and/or validate Agency MBS prepayment models and mortgage credit models.
• Strong knowledge of the U.S. mortgage market, statistical modeling, survival analysis, time-series forecasting, and/or machine learning techniques.
• Advanced proficiency in Python, R, and SQL for quantitative modeling and data analysis.
• A team player with strong verbal and written communication skills.

Pay

Base pay range: $160,000 – $185,000/year. Total compensation may also include sign-on bonus, restricted stock units, discretionary awards, and eligibility for commissions for applicable roles.

Benefits

• Full range of medical, financial, and other benefits
• 401(k) eligibility
• Various paid time off benefits, including vacation, sick time, and parental leave