Senior Mortgage Modeler: Prepayment & Credit Analytics

RiskSpan

Arlington (VA)

On-site

USD 180,000 - 200,000

Full time

14 days+

Application generator

Turn this role into an interview — a resume and cover letter built around what this employer wants.

Get past ATS filters

Job summary

RiskSpan is seeking a seasoned quantitative modeler to own the development and enhancement of loan-level mortgage prepayment and credit performance models. You will set technical standards for mortgage modeling, partnering with structured finance and risk teams on the Edge platform.

This principal-level role requires deep domain expertise and leadership. You will lead econometric and ML approaches, build modeling pipelines in Python/R/C++ on Linux, and mentor junior modelers while integrating

Qualifications

Advanced degree required in a quantitative field with a strong focus on mortgage prepayment or credit modeling.
Extensive hands-on experience with loan-level mortgage data and RMBS modeling is essential.
Demonstrated ability to lead long-term research projects and deploy models into production.

Responsibilities

Own development and enhancement of loan-level prepayment and credit performance models for agency and non-agency collateral.
Lead econometric and ML approaches for prepayment and credit behavior modelling, including survival analysis and gradient boosting.
Build end-to-end modeling pipelines in Python, R, and/or C++ on Linux, from data ingestion to deployment.
Back-test models, run sensitivity analyses across rate environments, vintages, and borrower cohorts.
Research macroeconomic drivers and incorporate them into stochastic scenario design; apply Monte Carlo simulations for asset valuation and hedging.
Document modeling work and mentor junior modelers to establish technical standards.