Major Functions: * Provide programming and overall quantitative analytical support for the non-Agency RMBS portfolio and the various other Structured Product asset classes. * Manage models used by the Structured Products Group including Loan Performance RiskModel, Andrew Davidson, PPR, etc. - Work closely with research analysts and portfolio managers to analyze model performance, including benchmarking of models against current market data. - Recommend model calibration and tuning. - Testing and analysis of model updates and new models. - Oversee ongoing model compliance including validation, stress testing, etc. * Develop and implement new solutions to assist in the portfolio management of the structured products portfolios including automation of various analytical tasks. * Ad hoc quantitative projects and analysis Qualifications: * 7-10 years experience * Master Degree or equivalent in Mathematics, Computer Science or Financial Engineering * Excellent quantitative ability and strong communications skills * Strong knowledge of structured products markets and instruments, with an emphasis on non agency RMBS * Familiarity with modeling techniques for structured products (default and loss models, prepayment modeling, HPA models, etc). Experience in working with loan level mortgage data (LoanPerformance Database) * Advanced computer system skills. Proficient in database and SQL, scripting languages and high level computer languages such as C++ and Visual Basic * Technical expertise in using fixed income analytical systems such as Bloomberg, Intex, YieldBook, Factset Fixed Income Manager, Polypaths, etc. * Strong interpersonal skills and ability to lead people who do not report directly through collaboration and influence.