Quantitative Researcher Intern

VWH Capital Management, LP•Dallas, TX

2d•Onsite

About The Position

VWH is seeking to hire a Quantitative Research Intern to work with the firm’s analytics and investment team. This role will work closely with key stakeholders and contribute to the continued growth and success of VWH’s residential mortgage and securities business as well as new opportunities and strategies. Ultimately, a successful candidate will be considered for full-time employment upon completion of their internship and degree.

Requirements

Holding or working toward a PhD in Statistics, Economics, Finance or other related quantitative fields
Proficiency in statistical and econometric modeling, such as survival analysis, time series models, logistic regression, multinomial logistic regression, Monte Carlo simulation, as well as machine learning
Hands on experience in working with large scale data sets
Proficiency in R/Python/Java or other statistical software packages.
Ability to manage multiple tasks and deliver high quality work in a dynamic environment
Ability to work in Uptown Dallas office
US work authorization is required.

Nice To Haves

Familiarity with financial mathematics, knowledge of mortgage analytics is a plus

Responsibilities

Conduct empirical analysis on residential mortgage performance including prepayment, default, loss severity and transition matrix based on large scale of loan level data
Develop a full spectrum of statistical models including prepayment, default, loss severity and multi-step transition models to analyze loan performance
Conduct full-scale backtests including in-sample and out-of-sample tests for models developed
Coordinate with the analytics team to implement statistical models and apply to investment decision making
Assist in exploring models for new investment products
Communicate to senior management on model attributes, performance, forecasts and risk/valuation implications
Other duties as assigned.