Residential Credit Quantitative Analyst (VP/Director)

Annaly Capital Management, Inc.; New York (NY); On-site; USD 180,000 - 250,000; Full time

Benefits offered by this job

401(k) eligibility

Medical benefits

Paid time off

Parental leave

Discretionary awards

Job summary

Annaly Capital Management, Inc. is seeking a Residential Credit Quantitative Analyst to develop and apply quantitative models across its residential credit strategies.

You will calibrate prepayment and loss models for RMBS and whole loans, build valuation and risk models, and work with data to improve hedging and portfolio analytics.

Qualifications

• 7+ years of experience in quantitative research or related field.
• Strong mortgage capital markets knowledge including prepayment and loss modeling.
• Proficiency in SQL and Python; R is a plus.
• Experience with large datasets and data handling.
• Ability to communicate complex quantitative concepts clearly to investors and senior management.

Responsibilities

• Calibrate and maintain prepayment, loss, and cashflow models for non-agency RMBS and whole loans.
• Develop models for valuation, scenario testing, and risk management of complex structured credit positions.
• Acquire and analyze alternative data sources to price RMBS and whole loans.
• Develop analytics for hedging strategies for the residential credit portfolio.
• Produce analytics and reporting on prepayment, delinquency and loss trends; present to management.

Skills

Quantitative research

Statistical learning

Time series analysis

Communication skills

Education

Advanced degree in quantitative field

Tools

SQL

Python

R

Job description

Annaly Capital Management, Inc. (“Annaly” or, together with its wholly-owned subsidiaries, the “Company”), is a publicly traded real estate investment trust (REIT) with investment strategies across mortgage finance. Its common stock is listed on the New York Stock Exchange under the symbol “NLY”. Annaly’s wholly-owned subsidiaries include several regulated and licensed entities, including Annaly Credit Opportunities Management LLC, an SEC registered investment adviser (“ACOM”), Arcola Securities, Inc., a FINRA member broker-dealer (“Arcola”) and, Onslow Bay Financial LLC, a mortgage aggregator and master servicer (“Onslow Bay”). The Company is headquartered in New York, NY with an additional office in the Dallas‑Fort‑Worth Metropolitan Area.

About This Role

The Residential Credit Quantitative Analyst will be responsible for the development, enhancement, and application of quantitative models and portfolio analytics used across Annaly's residential credit investment strategies.

Essential Responsibilities

• Calibrate, enhance, and maintain prepayment, loss, and cashflow models for non-agency RMBS and whole loans
• Develop quantitative models supporting valuation, relative value analysis, scenario testing, and risk management of complex structured credit positions, including equity tranches and embedded call options.
• Acquire and analyze alternative data sources to predict borrower behavior and to accurately price and manage RMBS and whole loans
• Develop analytics supporting the construction, evaluation, and implementation of effective hedging strategies for the residential credit portfolio
• Produce analytics and reporting on prepayment, delinquency and loss trends and present to management and investment committees
• Validate model performance through back-testing, benchmarking, and out-of-sample analysis
• Identify and implement enhancements to portfolio analytics and data frameworks in collaboration with Technology, Risk, and Finance groups

Qualifications/Requirements

Basic Qualifications

• 7+ years of experience as a quantitative researcher, desk strategist, or quantitative analyst supporting fixed income investing or trading
• Strong understanding of mortgage capital markets including prepayment and loss modeling, OAS analysis, deal structures / cashflow mechanics and risk analytics
• Solid understanding of statistical learning methods, regression techniques, forecasting models, and time series analysis
• Proficiency in SQL and Python and experience working with large datasets. Proficiency in R is a plus
• Experience estimating mortgage prepayment and loss models preferred
• Advanced degree in Computer Science, Math, Statistics, Financial Engineering, Economics, or a similar quantitative field strongly preferred
• Ability to communicate complex quantitative concepts clearly to investors, traders, and senior management
• Ability to work in a fast-paced environment and effectively manage responsibilities to meet deadlines
• Ability to build effective working relationships across all levels of the organization

Eligibility Requirements

• Must be willing to work in New York, NY onsite 4 days per week
• Must be willing to submit to a background investigation
• Must have unrestricted work authorization to work in the United States
• Must be willing to work additional hours as needed to complete deadline-driven projects

The salary range for this position at commencement of employment is expected to be between $180,000 to $250,000; however, base salary offered may vary depending on multiple individualized factors, including market location, job-related knowledge, skills, and experience. The total compensation package for this position may also include other elements, including a sign-on bonus, restricted stock units, and discretionary awards in addition to a full range of medical, financial, and/or other benefits (including 401(k) eligibility and various paid time off benefits, such as vacation, sick time, and parental leave), dependent on the position offered. Details of participation in these benefit plans will be provided if an employee receives an offer of employment.

Annaly is committed to equal employment opportunity and providing reasonable accommodations to qualified candidates and employees pursuant to applicable law. We value and encourage diversity and solicit applications from all qualified applicants without regard to race, color, gender, sex, age, religion, creed, national origin, ancestry, citizenship, marital status, sexual orientation, physical or mental disability, medical condition, military and veteran status, gender identity or expression, genetic information, or any other characteristic protected by federal, state, or local law. If you require reasonable accommodation as part of the application process, please contact our Human Resources department.

To learn more about Annaly Capital Management, Inc. please visit https://www.annaly.com | LinkedIn: www.linkedin.com/company/annaly-capital-management

To learn more about and Onslow Bay Financial, Inc., please visit https://www.onslowbayfinancial.com | LinkedIn: www.linkedin.com/company/onslow-bay-financial