Quantitative Analyst 4
Location: O'Fallon, Missouri
Description: Citigroup is looking of Quantitative Analyst 4 right now, this job will be situated in Missouri. More details about this job opportunity please read the description below. Post by Jobing - Reference Code: 13019024 Location: O'fallon, MO, USA Education Level: Master's Degree Description CitiMortgage, Inc. seeks Quantitative Analyst for its O’Fallon, Missouri location. Duties: Perform ec! onometric analyses of consumer behavior within the mortgage industry. Develop, implement, and backtest mathematical models for mortgage servicing right valuation and pipeline warehouse hedging.
Prepare data for processing by organizing information, checking for inaccuracies, and adjusting and weighting raw data. Process data and use SAS to perform statistical modeling and graphic analysis. Report results of statistical analyses, including information in the form of graphs, charts, and tables. Work with complex data models surrounding voluntary and involuntary mortgage prepayment, as well as mortgage pipeline and warehouse fallout functions and prepayments.
Build, test, update and judge predictive data models that accurately value mortgage servicing assets. Analyze and interpret statistical data to identify significant differences in relationships among sources of information. Identify relationships and trends in data, as well as any factors that impact res! earch results. Backtest predictive models as compared to actua! l prepayment activity in the mortgage servicing rights portfolio and perform daily tracking of third party and internal models prepayment performance to ensure mortgage servicing asset is fairly valued.
Evaluate the statistical methods and procedures used to obtain data to ensure validity, applicability, efficiency, and accuracy. Develop fallout functions for pipeline hedging and implement functions into the Quantitative Risk Management (QRM) system. Maintain weekly prepayment reports for various securities for the hedge desk. Act as lead analyst in the testing of new third party prepayment or cash flow models and version changes to current models.
Ensure that mortgage servicing right portfolio management meets internal and external regulatory standards. Prepare reports for internal and external auditors and OCC. Evaluate sources of information to determine any limitations in terms of reliability or usability. Qualifications Requirements: Master’s degree! in Economics, Econometrics, Mathematics, Statistics, or related field, and one (1) year of experience in job offered or as an Economist, Statistician, Financial Analyst, Mathematician, or related quantitative position.
Professional experience or academic knowledge must include: SAS programming language; Consumer Behavior Analysis; Data Modeling; Building and calibrating statistical, financial, and/or predictive models; and Portfolio management. Citigroup is an EOE/AA Employer. This position is eligible for incentives pursuant to Citigroup’s Employee Referral Program.
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This job will be started on: Mon, 27 May 2013 12:26:49 GMT
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