Quantitative Analytics Specialist 5 (2 Positions) - Senior Front Office Financial Engineer And Senior Mortgage /Rates Modeling Quant

Wells Fargo New York , NY 10007

Posted 2 months ago

Job Description:

Important Note: During the application process, ensure your contact information (email and phone number) is up to date and upload your current resume when submitting your application for consideration. To participate in some selection activities you will need to respond to an invitation. The invitation can be sent by both email and text message. In order to receive text message invitations, your profile must include a mobile phone number designated as "Personal Cell" or "Cellular" in the contact information of your applic

At Wells Fargo, we want to satisfy our customers' financial needs and help them succeed financially. We're looking for talented people who will put our customers at the center of everything we do. Join our diverse and inclusive team where you'll feel valued and inspired to contribute your unique skills and experience.

Help us build a better Wells Fargo. It all begins with outstanding talent. It all begins with you.

Wells Fargo Home Lending is the largest home mortgage lender and servicer in the U.S., funding one of every nine loans and servicing one of every seven loans. In 2018, we helped 582,000 homeowners purchase or refinance their homes, and we provide mortgage servicing for more than 8 million customers. NeighborhoodLIFT, CityLIFT, and HomeLIFT are distinct programs that complement each other with a common purpose to create sustainable homeownership. In recent years, Wells Fargo has announced diverse lending commitments to increase homeownership in the African American and Hispanic communities.

Our Capital Markets team manages the interest rate and operational risks associated with the origination, sale and servicing of mortgage loans, and provides liquidity for the mortgage assets originated by Wells Fargo. All quantitative modeling related to market and interest rate risk on the bank's mortgage products is concentrated in the Mortgage Modeling Center of Excellence. This group does not only support the consumer banking mortgage activities, but also the bank's trading activities and investment portfolio positions in mortgage products.

The Wells Fargo Modeling Center of Excellence is looking for senior level front office financial engineers and mortgage / rates modeling quants. We have 2 positions open under this requisition.

The first role is a financial engineer that will be involved in the implementation of interest rate models, mortgage prepayment models, mortgage default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage business in Wells Fargo. Depending on experience and background, the candidate may focus on a subset of these areas.

Key duties and responsibilities of this position include, but may not be limited to:

  • Implement and enhance the firm's proprietary quantitative library in C++

  • Generate, test, implement, and deploy ideas to improve system performance or team productivity

  • Improve the safety and reliability of the library

  • Work constructively in collaboration with business, model development, model validation, and IT

The second role is a rates modeling quant that will be involved in the development of interest rate and other models to support the pricing of mortgage products, ongoing monitoring and research related to mortgage model performance and the all end implementation and testing of and research into the group's internal and vendor pricing models. Depending on experience and background, the candidate may focus on a subset of these areas. A successful candidate must have strong expertise in interest rate products modeling and be familiar with Residential Mortgage-Backed Securities (RMBS) valuation, OAS framework and risk analysis.

Key duties and responsibilities of this position include, but may not be limited to:

  • Developing analytical strategies for real time decisioning and/or long term objectives

  • Performing analytical support and/or modeling

  • Providing insights regarding a wide array of business initiatives

  • Working independently on development, testing, and implementation of OAS valuation, Risk Management and Statistical models for Mortgage Servicing Rights, Mortgage Backed Securities and Vanilla and Exotic Interest Rate Derivatives using Polypaths and C++

  • Conducting ongoing maintenance and research on models for risk management of mortgage and fixed-income products

  • Collaborating and partnering with internal and external quantitative communities including the academic community to keep abreast with the latest developments and practices in quantitative risk and mortgage modeling as well as industry changes in general

  • Interacting with regulators on high visibility models in order to resolve regulatory MRAs

  • Work with senior management in WFHL Capital Markets to develop a vision on new model development, so that WFHL can stay ahead of industry changes and the developments at its competitors.

  • Developing model performance metrics like statistical back tests or P&L explanation analysis

  • Conducting periodic reporting and analysis of model performance

  • Maintaining up-to-date model documentation

  • Guide junior staff in project work

Required Qualifications

  • 4+ years of financial industry experience
  • A master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science
  • 6+ years of experience in an advanced scientific or mathematical field

Other Desired Qualifications

Programming

  • Strong design, coding, testing and debugging skills.

  • Experience in advanced and modern cpp features/techniques/libraries: templates, c++1x, std, boost etc

  • Versed in software engineering principles

  • Experience with multi-threading and asynchronous event-driven programming

  • Experience in software development cycle and agile technologies

  • Proficiency in SQL and VBA

  • Intermediate ability in Java, C#, or Python

Business

  • Current/prior mortgage banking environment experience

  • Current/prior experience working with the LMM model and mortgage valuation models

  • Solid understanding of (exotic) interest rate derivatives models and mortgage analytics

  • Experience in statistical analysis of financial problems

  • Experience in Vendor model, solution or platform

  • Polypaths, ADCo, Intex, QRM, Bloomberg, Yieldbook
  • Excellent/demonstrated analytical, interpersonal, oral and written communication skills with a strong attention to detail

  • Ability to communicate across multiple audiences (Technology, Quants, Senior Management)

  • Ability to thrive in a deadline-oriented environment with a demanding workload

  • Possessing a strong sense of urgency and results orientation, with outstanding ability to motivate teams and mobilize the resources to set high goals and accomplish them

  • Demonstrated passion and commitment to excellence without becoming personally attached to outcomes

  • Demonstrated ability to work through business challenges consistently and effectively through collaboration and transparency

  • An impeccable reputation for integrity, accuracy, consistency, big picture orientation and business acumen

  • Highly self-motivated with a working knowledge of risk management fundamentals and policy creation

  • Possessing exceptionally strong thought leadership with a proven ability to engage and influence Executive Management

  • Possessing "Organizational Awareness," i.e., having and using knowledge of systems, situations, pressures and culture within the company to identify potential organizational problems and opportunities and perceiving the impact and the implications of decisions on other components of the company as well as the impact on investors, customers, and clients

Job Expectations

  • This position requires compliance with all mortgage regulatory requirements and Wells Fargo's compliance policies related to these requirements including acceptable background check investigation results. Successful candidates must also meet ongoing regulatory requirements including additional screening and required reporting of certain incidents.

  • Ability to travel up to 5% of the time

Street Address

MN-Minneapolis: 600 S 4th St

  • Minneapolis, MN

NC-Charlotte: 401 S Tryon St

  • Charlotte, NC

VA-McLean: 1753 Pinnacle Dr

  • Mclean, VA

MO-Saint Louis: 1 N Jefferson Ave

  • Saint Louis, MO

NY-New York: 100 Park Ave

  • New York, NY

Disclaimer

All offers for employment with Wells Fargo are contingent upon the candidate having successfully completed a criminal background check. Wells Fargo will consider qualified candidates with criminal histories in a manner consistent with the requirements of applicable local, state and Federal law, including Section 19 of the Federal Deposit Insurance Act.

Relevant military experience is considered for veterans and transitioning service men and women.

Wells Fargo is an Affirmative Action and Equal Opportunity Employer, Minority/Female/Disabled/Veteran/Gender Identity/Sexual Orientation.

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