PBG Strats Mortgage Strategist - Vice President/Assistant Vice President

Morgan Stanley•New York, NY

About The Position

Morgan Stanley’s PBG Strats group is seeking an Assistant Vice President/Vice President level Mortgage Strategist. PBG Strats models a wide range of financial products including bank deposits, mortgage lending, retail and margin lending, and other investment securities. We are looking for a qualified individual to join our fast-paced, collaborative environment. This role combines mortgage model development, performance monitoring, risk analytics, model implementation, and production support. The successful candidate will develop and enhance mortgage product models - including New Origination Volume, Ratelock Pipeline, Prepayment and Default models - as well as associated risk analytics. The role partners closely with portfolio managers, product stakeholders, and technology teams to deliver robust models and tools into production.

Requirements

Advanced degree (Ph.D. preferred) in a quantitative field (STEM), with a focus on Statistics / Data Science preferred, or equivalent relevant experience.
Strong programming skills in Python (including PySpark) for data analysis, modeling workflows, and automation.
Strong C++ development experience and debugging skills.
Strong database and data platform experience (SQL; Databricks and Snowflake; plus platforms such as Dataiku).
Familiarity with fixed-income instruments; mortgage expertise strongly preferred.
Experience supporting applications/models across SDLC environments (QA/UAT/PROD) and applying operational best practices.
Excellent communication, collaboration, and relationship-management skills, including the ability to engage senior stakeholders in both written and verbal formats.

Responsibilities

Develop and enhance mortgage product models for New Origination, Ratelock Pipeline, Prepayment and Default probabilities using advanced statistical and quantitative techniques; conduct model diagnostics, back-testing, and documentation to support model governance.
Engineer, curate, and analyze large-scale, multi-source datasets (loan-, borrower-, and macro-level) to identify drivers of behavior, validate assumptions, and improve model performance.
Build model performance monitoring and reporting tools.
Implement models into analytics platforms used for pricing, valuation, and risk calculations; optimize for scalability, accuracy, and runtime performance.
Support model execution across QA/UAT/Production environments, including troubleshooting, debugging, and ongoing production support.
Ensure adherence to internal model risk standards and regulatory requirements, including CCAR-related governance and reporting needs.