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Job Position: Quantitative Analyst/Financial Engineer 2 (MSR)
Location: Saint Louis, MO or Minneapolis, MN preferred (or Remote)–200010987
U.S. Bank is seeking a financial engineer to join the Mortgage Analytics and Data Science team – a highly visible and industry leading quantitative group at U.S. Bank Home Mortgage (USBHM). This role will be focused on the application of quantitative methods to support valuation, hedging, and market risk management activities of U.S. Bank’s mortgage origination and servicing business. The ideal candidate will have experience and in-depth knowledge of the mortgage finance industry with a focus on mortgage servicing rights, fixed-income derivatives, term-structure modeling, consumer behavioral modeling (prepayment/delinquency/default), and numerical methods.
– Bachelor’s degree in a quantitative field, and four to six years of experience in statistical modeling OR
– Master’s degree in a quantitative field, and less than four years of experience in statistical modeling
• Mortgage finance expertise;
• Term-structure modeling (HJM, BGM, LMM);
• Fixed-income capital markets and interest rate derivatives;
• Mortgage servicing rights valuation;
• Hedge construction, attribution, and evaluation;
• Consumer behavior/propensity modeling (prepayment, delinquency, default, severity)
• Polypaths, QRM/MB, QRM/AL, MIAC WinOAS;
• SAS, R, Python, C/C++;
• Superb oral and written communication skills;
Accounting / Finance
Minnesota-MN-Minneapolis, United States
1st – Daytime
To apply for this job please visit usbank.taleo.net.