Vice President, Research
Company: Ellington Management Group, LLC
Position: Vice President, Research
Location: 711 Third Avenue, 5th Floor, New York, NY 10017
Job Duties: Oversee the development, implementation, and enhancement of the firm’s quantitative risk, valuation, and collateral modeling infrastructure. Architect and lead the development of the firm’s collateral modeling framework, ensuring scalability, accuracy, and alignment with business and regulatory requirements. Develop, implement, and maintain quantitative models for structured finance products, including mortgage-backed securities, utilizing industry-standard tools such as Intex and related subroutines to generate OAS-based cashflow and valuation models. Lead the design and development of AI/ML-enhanced systems to monitor and optimize the profitability of loan origination and securitization activities. Lead the development of AI-enhanced analytical tools to support trading desk workflows and improve efficiency and decision-making. Ensure that all models adhere to established best practices, including appropriate documentation, validation, and governance standards. Review and evaluate modeling work produced by research team members to ensure consistency, accuracy, and adherence to quantitative and scientific standards. Apply statistical, econometric, and quantitative techniques to analyze financial markets, model asset performance, and inform investment decisions. Assess and integrate internal and third-party market data into model calibration processes; evaluate external vendor data and incorporate such data into existing modeling frameworks as appropriate. Monitor and analyze market developments, regulatory guidance, and industry best practices related to financial modeling; review relevant academic and industry research. Collaborate with portfolio managers, traders, and senior research staff to identify business needs and develop quantitative solutions to support investment strategies. Coordinate and oversee the implementation of research initiatives and modeling enhancements across the research team. Prepare and review technical materials and analyses for internal stakeholders and external parties, including clients and prospective investors. Assist in responding to technical inquiries from clients and prospective investors in coordination with senior management and investor relations. Participate in the recruitment and evaluation of research personnel, including conducting interviews, assessing candidate qualifications, and providing hiring recommendations.
Job Requirements: Must have a Bachelor’s degree, or foreign equivalent, in Computer Science, Economics, Finance, or a closely related quantitative field. Must have 2 years of experience as a Research Analyst, Quantitative Analyst, or a related role. The 2 years of experience must include experience with: quantitative risk, valuation, and collateral modeling for structured finance products, including mortgage-backed securities and related instruments; Intex and Intex subroutines for constructing and analyzing OAS-based cashflow and valuation models; statistical, econometric, and quantitative modeling techniques for financial market and asset performance analysis; analysis of large-scale financial and market datasets, including integration of internal and third-party data sources into model calibration and validation processes; programming in Python, C++, or similar languages for model development, data analysis, and system implementation; model performance evaluation and application of modeling best practices, including documentation, validation, and governance standards; and design and implementation of quantitative solutions supporting investment strategies.
Salary Range: $200,000 - $205,000/year