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Prepayment Modeler - Quantitative Analytics Consultant 2

Job ID 5373284 Schedule Type Reg-Time Work Hours 40 Location Charlotte, North Carolina, San Francisco, California, Wilmington, Delaware, New York, New York;
Job Description

Consumer Lending is an industry leader in supporting homeowners and consumers. We put customers at the center of all that we do. We make every decision - and design every product and service - with our customers in mind.

It starts with you. We must attract, develop, retain and motivate the most talented people - those who care and who work together as partners across business units and functions. We value and promote diversity and inclusion in every aspect of our business and at every level of our organization.

The Consumer Lending team includes Home Lending, Personal Lending, and Dealer Services, including the professional services teams that partner with these businesses and other key partners.

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.

**Charlotte, NC is the preferred location, will consider other WF hubs**

The Team

Within WFHL Capital Markets, the interest rate risk management team manages the MSR and mortgage pipeline portfolios. The model development team builds models for these activities as well as supports all other Wells Fargo business with mortgage risk exposure in their model development.

The Role

The Capital Markets Model Development team is seeking a skilled and experienced Quantitative Analytics Consultant 2 (QAC2). The QAC2 hired into this role will be responsible for performing highly complex activities related to mortgage products, business analysis and/or risk modeling.

The QAC2 will focus on prepayment and default behavior models for agency and non-agency mortgages. S/he must have strong expertise as prepayment modeler 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:

  • Design, estimate, implement, test, document and maintain statistical models for prepayment, default, loss severity forecasting of agency and non-agency mortgages.
  • Developing model performance metrics like statistical back tests or P&L explanation analysis
  • Handle and evaluate extensive varied database from multiple internal and external sources.
  • Deliver business-oriented communications for internal and external counterparts.
  • Interacting with regulators on high visibility models in order to resolve regulatory MRAs (Matters Requiring Attention)


Required Qualifications

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





Other Desired Qualifications
  • PhD in a quantitative discipline
  • Current/prior mortgage banking environment experience
  • Current experience in prepayment model development and extensive experience in statistical analysis of financial problems
  • Solid understanding of OAS framework, LMM model, (exotic) interest rate derivatives models and mortgage analytics
  • Perfect command of SAS and SQL and relational databases
  • Experience in programming languages and statistical software (C++, C#, VBA, R or Python)
  • 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



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.

0218226 WF CONSLNDG GRP

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