Other Data Scientist
Job Description
Seeking a Quantitative Analytics Tech Lead to join the Models & Analytics group to develop and enhance mortgage prepayment, default and severity models for portfolio management. The team is responsible for developing models and conducting quantitative analysis to support valuation and hedging of mortgage products.
The successful candidate will contribute to the development of mortgage valuation model and conduct portfolio analysis to support trading and hedging activities.
Your Work Falls Into Four Primary Categories:
Model Development and Research
- Developing mortgage prepayment, default and severity models that assess market risk of mortgages, mortgage-backed securities, and senior-sub structured products
- Applying statistical modeling and big data analytics tools and developing innovative solutions for forecasting mortgage borrower behavior
- Conducting research on industry models, market conditions, and regulatory environment.
Portfolio Analysis
- Developing and enhancing valuation processes and risk metrics for our retained portfolio of mortgage products.
- Conducting sensitivity analysis and impact assessment for model updates and changes in model inputs.
Model Governance
- Preparing model documentation and conducting thorough model validation tests.
- Developing on-going performance monitoring and threshold methodology. Business Support.
- Providing analytics support for trading and hedging activities.
- Working under limited direction, independently determining and developing approach to solutions.
Qualifications:
- Doctorate degree plus 3 years of working experience (or Master’s degree with equivalent 5 years of working experience) in statistics, data science or a related quantitative field.
- 5+ years of relevant experience applying predictive modeling techniques or data analytics to large datasets is preferred.
- Post-graduate work experience in mortgage valuation and statistical modeling.
- Programming skills in one or more of Python, R, SAS or related languages.
- Exceptional quantitative, empirical analysis, and research skills.
- Experience working with large data sets and relational database.
- Experience in statistical model development and implementation is preferred.
- Exceptional quantitative, empirical analysis, and research skills.
- Strong knowledge of survival analysis and mortgage valuation.
- Strong programming skills and knowledge in big data analytics such as Apache Spark and AWS cloud computing.
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Equal Opportunity Employer:
Aspirecruit Inc. is an Equal Opportunity Employer. We are committed to creating an inclusive environment for all employees and do not discriminate based on race, religion, gender, age, disability, or any other protected status.
How to Apply
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