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LSEG Non-Agency RMBS Model Developer in New York, New York

Role Profile ISD / YieldBook prides itself in setting a market standard for RMBS prepayment models that are the cornerstone of Fixed Income Analytics products and services provided by the firm.

Reporting to the RMBS Prepayment Modeller, this is a quant developer role responsible for maintenance and development of model code in the suite of firms’ Non-Agency RMBS models. The individual will be responsible for development, maintenance, and support, working closely with Client Service, Product Management, other Research teams, Data, and Technology.

Key Responsibilities Learning and understanding Yield Book Non-Agency RMBS Prepayment models and code implementation. Commitment to support and improvement of existing implementations. Understanding of data flows that support models. Support effort to modularize existing suite of models. Coordination with developers, data teams, other Research team members on model code, to facilitate troubleshooting and handle client requests. Contribute to model validation process, as required by the internal and external clients. Maintain model documentation at the appropriate level of clarity and detail.

Key Behaviours Integrity Has the sustained drive and energy to deliver support service to time and quality.

Partnership Values practical aspect of model development, quality of code, scalability, etc alongside with the quality of model itself. Deals with conflict successfully.

Innovation Open to and willingly adopts new processes / approaches / ways of working. Seeks information/inputs from colleagues/clients.

Excellence Oral and written communications are tailored to their audience’s needs. Willingly puts in the effort to ensure activities completed on time and to the quality required. Pro-active and demonstrates initiative. Prioritises activities according to business and operational need. Analysis and problem solving. Analyses issues to identify the most appropriate solutions. Utilises all available resources and toolsets to investigate and resolve problems.

Candidate Profile / Key Skills Bachelor’s degree (Masters preferred) in a quantitative field, such as Science, Engineering, Statistics, or Mathematics. At least 2-4 years of Industry experience with MBS or other areas of Fixed Income are strongly preferred. Strong coding expertise in C/C++ or Python required. Both preferable. Knowledge of Linux OS is required. Strong understanding of mortgage analytics systems is a significant plus. Strong leadership skills, proven ability to innovate. Excellent communication skills are required, both oral and written. Team player, ability to learn new models quickly and efficiently.

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