Quantitative Analyst/Financial Engineer 2 (MSR) Job at U.S. Bank – Minneapolis, MN, US

 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.

Basic Qualifications
– 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

Preferred Skills/Experience
• 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;

Job

 Accounting / Finance

Primary Location

 Missouri-MO-Saint Louis

Other Locations

 Minnesota-MN-Minneapolis, United States

Shift

 1st – Daytime

Travel

 No