Resi Quant Associate

Company Information

Waterfall Asset Management, LLC is an SEC-registered alternative investment manager focused on specialty finance opportunities within asset-backed credit, whole loans, real assets, and private equity.  Waterfall was founded in 2005 by Tom Capasse and Jack Ross, two individuals who were early leaders of the ABS industry, and who together have over 60 years of proven ABS/Loan credit analysis, trading, banking, and servicing experience. Waterfall seeks to provide its client a compelling risk/return profile which is generally uncorrelated to most traditional investment opportunities.  Waterfall is headquartered in New York, with additional offices in London, and Dublin. As of December 31, 2023, Waterfall approximately $12.6 billion in assets under management.

Job Description 

Waterfall is looking to hire a Resi Quant Associate on the residential and small balance commercial investment team to support the trading and portfolio management function in analyzing whole loan portfolios.  The group invests across residential whole loans in agency, nonQM, government insured, proprietary and HECM reverse loan products, as well as 2^nd liens, MSRs, small balance commercial loans, residential RMBS opportunities and special situations within the US residential and small balance commercial financing universe.

Specific job responsibilities include:

• Develop and maintain quantitative analysis/models across residential and SBC mortgage related assets
• Develop statistical models and analyze prepayment/default behavior
• Partner with traders, programmers, controllers, and risk managers
• Maintain and update proprietary modelling tools (Python and VBA based)
• Work closely with the investment team on developing investment thesis and execution strategy
• Manage 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

Qualifications and Education Requirements

• 2-5yrs experience in relevant residential, small balance commercial or ABS investment, trading or advisory role
• Bachelor’s degree (BA/BA) in economics, sciences or mathematics and / or CFA / FRM
• Strong analytic skills with proficiency in programming languages including but not limited to Python, VBA, SQL
• Extensive experience managing large loan level and pool data. Demonstrated ability to manipulate and analyze large datasets, summarize and validate modeling hypothesis.
• Prior experience in structured products (ideally RMBS) with focus in prepayment and default modeling and deal structuring
• Strong project management and organizational skills to maintain robust deal flow volume
• Strong communication skills with team focused mentality and collaboration mindset