Principal Mortgage Prepayment & Credit Modeler

RiskSpan; Arlington (VA); Hybrid; USD 180,000 - 200,000; Full time

Benefits offered by this job

Salary range $180k-$200k

Benefits package

Job summary

RiskSpan is seeking a senior quantitative modeler to own the development of loan-level mortgage prepayment and credit performance models. You will set technical standards for modeling, and collaborate with structured finance and risk teams to implement scalable solutions.

You will build and validate pipelines in Python, R, and C++ on Linux, applying survival analysis, hazard models, and ML techniques to RMBS datasets while guiding junior modelers and documenting methodologies.

Qualifications

• Master's or Ph.D. in Quantitative Finance or related field.
• 7-10+ years of mortgage prepayment or credit modeling experience.
• Deep expertise in agency and non-agency MBS markets and RMBS cash flow modeling.

Responsibilities

• Own loan-level prepayment models across agency and non-agency collateral; develop S-curves and related functions.
• Lead econometric and ML approaches for prepayment and credit behavior modeling; extend to default and severity modeling.
• Own credit risk modeling efforts including delinquency transitions, default, and loss given default.
• Build modeling pipelines in Python, R, and/or C++ on Linux from data ingestion through deployment.
• Back-test models and analyze sensitivity across rate environments and vintages.
• Analyze loan performance data using SQL and Snowflake to identify drivers and shifts.
• Research macroeconomic and borrower drivers and incorporate into stochastic scenarios.
• Apply Monte Carlo, OAS frameworks, and interest rate models to support valuation and hedging.
• Partner with risk teams to integrate models into pricing and risk management; document and mentor.

Skills

Python

R

C++

SQL

Survival analysis

Hazard models

Logistic regression

GLMs

Panel econometrics

Education

Master's or Ph.D. in Quantitative Finance

Tools

Snowflake

Linux

Unix

Job description

RiskSpan is seeking a senior quantitative modeler to own the development of loan-level mortgage prepayment and credit performance models. You will set technical standards for modeling, and collaborate with structured finance and risk teams to implement scalable solutions.

You will build and validate pipelines in Python, R, and C++ on Linux, applying survival analysis, hazard models, and ML techniques to RMBS datasets while guiding junior modelers and documenting methodologies.