What are the responsibilities and job description for the Financial Quantitative Engineer position at The Oakleaf Group?
The Financial Quantitative Engineer will be responsible for conducting theoretical and empirical research using public and proprietary data in various areas of mortgage finance. This role involves applying advanced mathematical, statistical, and econometric techniques to provide innovative solutions that support business strategies and initiatives.
Responsibilities:
- Learn and apply proprietary forecasting and pricing models built in Java, Python, and R, analyzing the results to derive insights.
- Review loan-level results from third-party forecasting applications, utilizing tools like Excel Pivot Tables, R, and Python for data analysis.
- Assess upstream data inputs, including loan data flows and transformations, to understand how changes affect credit forecasts.
- Conduct quantitative analysis on loan terms, products, and securitizations, forecasting metrics such as NOI, Cap Rates, Interest Rates, and Property Prices.
- Run deterministic "what-if" scenarios using proprietary tools to assess the impact on the loan book, synthesizing the results and documenting methodologies in brief reports using Monte Carlo and other simulation techniques.
- Modify and extend in-house models or develop new models from scratch through code changes.
- Model loan securitizations and cash flows in Python and R, performing discounted cash flow (NPV) analysis on forecasted loan structures.
- Evaluate, communicate, and document modeling assumptions, output transformations, and other components that influence analysis results.
- Collaborate with a team to develop, validate, and document proprietary valuation models and property price indexes, working with stakeholders across business, finance, risk, and economics to discuss options and determine the best approach.
Qualifications:
- MBA with quantitative analytics experience, or Master’s in Financial Engineering or Quantitative Analytics, or Ph.D. in Finance or Economics
- 2 years of experience developing and running financial models or analyzing large datasets (10mm observations) written in Python/Java/R. AWS experience preferred
- 2 years of experience communicating complex financial results to management with presentations or memos.
- Knowledge of SQL
- 2 years of experience developing and executing cashflow models/valuation/loss forecasting for loans or securitizations (such as CMBS, CRT)
- Experience with Econometrics, Statistics, Probability, Corporate Finance, Valuation, Bond Mathematics, Financial Analysis
- This is a remote position requiring the ability to work effectively in a home office environment with moderate noise levels.