Senior Mortgage Prepayment Modeler

Important Note: During the application process, ensure your contact information (email and phone number) is up to date and upload your current resume when submitting your application for consideration. To participate in some selection activities you will need to respond to an invitation. The invitation can be sent by both email and text message.  In order to receive text message invitations, your profile must include a mobile phone number designated as “Personal Cell” or “Cellular” in the contact information of your application. 

At Wells Fargo, we are looking for talented people who will put our customers at the center of everything we do. We are seeking candidates who embrace diversity, equity and inclusion in a workplace where everyone feels valued and inspired.

Help us build a better Wells Fargo. It all begins with outstanding talent. It all begins with you.

Finance brings together enterprise functions that drive Wells Fargo's financial management, including accounting and control, financial planning and analysis, line of business finance, asset-liability management, treasury, tax management, and the company's investment portfolios. They also inform shareholders, regulators, taxing authorities, employees, and leaders of the company's financial performance through earnings releases, investor meetings and conferences, and meetings with regulators and credit rating agencies, following appropriate reporting guidelines.

Investment Portfolio

The Wells Fargo Investment Portfolio (IP) manages the Company’s Available-For-Sale (AFS) and Held-To-Maturity (HTM) securities and loan portfolios, and the Reinsurance and Bank Owned Life Insurance (BOLI) businesses as part of the Finance group. IP also provides strategic and analytical balance sheet support to the bank, as well as a centralized, street-facing trade execution and hedging function and centralized mortgage modeling for the enterprise. The Investment Portfolio consists of:

• Credit Investment Portfolio (CIP): Responsible for the evaluation of credit-driven investment opportunities across a broad spectrum of corporate notes, loans, Municipal bonds, CLOs, and other asset backed securities
• Macro Investment Portfolio (MIP): Responsible for maintaining a portfolio of fixed income investments to achieve liquidity, interest rate risk management, and capital management objectives on behalf of Corporate Asset/Liability Committee
• Trading: Street-facing trading desk with the ability to offer coordinated execution of all cash and derivatives trades for the portfolio, as well as for other key partners within Wells Fargo
• Reinsurance and Bank Owned Life Insurance (BOLI) businesses which consist of both life and annuity insurance contracts.
• Portfolio Strategy, Analytics, and Infrastructure (PSAI): Centrally manages IP’s analytics, including stress testing, sensitivity analytics, and optimizing investment decision making within capital, liquidity, and risk management constraints
• Mortgage Modeling Center of Excellence (MMCOE):  Centrally manages all quantitative modeling related to market and interest rate risk on the bank’s mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.
• Financial Forecasting & Reporting (FFR): Centrally manages income and balance sheet forecasting and portfolio level reporting.
• IP Business Management Office: Serves as a trusted advisor and aid in establishing business priorities for the portfolios and the teams, responsible for strategizing, planning, and executing a variety of services and initiatives on behalf of the portfolio executives and their respective teams. The team also leads implementation of enterprise driven initiatives in partnership with finance and enterprise business support partners.

The Mortgage Modeling COE is seeking a skilled and experienced Senior Prepayment Modeler (QAS4). The senior prepayment modeler will be in charge of developing prepayment and default behavior models for agency and non-agency mortgages, and the development of mortgage products and risk models. This includes ongoing monitoring and research related to mortgage model performance and the all end implementation and testing of and research into the group’s internal and vendor pricing models. Depending on experience and background, the candidate may focus on a subset of these areas. A successful candidate must have strong expertise in prepayment and default modeling and/or the development of mortgage pricing and risk models, as well as be familiar with Agency and Non-Agency Database 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, HPI forecasting of agency and non-agency mortgages 
• Conducting ongoing maintenance and research on models for risk management of mortgage and fixed-income products
• 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).

• 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

• Excellent verbal, written, and interpersonal communication skills
• Strong analytical skills with high attention to detail and accuracy

• Experience in developing prepayment and default models
• Demonstrated experience in handling mortgage database (1010/embs/loan performance/core logic)
• Solid understanding of statistics, financial mathematics and models including, OAS framework, Monte Carlo simulation, LMM model, (exotic) interest rate derivatives models and mortgage analytics
• Ability to communicate across multiple audiences (Technology, Quants, Senior Management)
• An impeccable reputation for integrity, accuracy, consistency, big picture orientation and business acumen
• Experience in developing prepayment and default models 
• Excellent demonstrated experience with Python/R and working knowledge of SAS or SQL and relational databases. 
• Knowledge of C++ and VBA.
• 4+ years of quantitative development experience

• Ability to travel up to 10% of the time
• 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.

NY-New York: 30 Hudson Yards - New York, NY
NC-Charlotte: 550 S Tryon St - Charlotte, NC

• 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.

Benefits
 

Visit https://www.wellsfargo.com/about/careers/benefits for benefits information.