Support, develop, assess, and execute statistical, mathematical, economic, and financial models for business decision making, risk assessment, financial valuation, and performance measurement in all areas of mortgage finance business.
KEY JOB FUNCTIONS
- Under the direction of supervisor or senior staff, conduct theoretical and empirical research using public and proprietary data in all areas of mortgage finance business, including mortgage products and securities, borrower behavior, investment and hedging strategies, residential property valuation, macroeconomic models including housing prices and interest rates, financial valuation of finance assets and derivatives, economic capital, and stress testing.
- Apply mathematical, statistical, and econometric techniques to help provide innovative, thorough, and practical solutions to support business strategies and initiatives.
- Utilize data mining and statistical techniques to help develop analytic insights, sound hypotheses, and informed recommendations.
- Identify opportunities to apply quantitative methods to improve business performance
- Complete modeling tasks in accordance with established company policies and generally-accepted modeling practices
- Perform analyses to assess the quality and risk of model methodologies, outputs, and processes under supervision
- Apply understanding of relevant business context to properly interpret model results, monitor performance and assess risks
- Conduct ad hoc quantitative analyses, modeling, or programming using SAS, SQL, R, or Python
- Communicate technical subject matter clearly and concisely, both verbally and through written communication
- Work and collaborate effectively as part of a team
- Bachelor's Degree or equivalent required
- 2+ years of related experience
SPECIALIZED KNOWLEDGE & SKILLS
- PhD or MS in Quantitative/Computational Finance or related field
- Programming or coursework experience in C++, Java, Python, R, Matlab/Octave
- Experience or coursework on valuation of exotic/embedded options
- Experience with machine learning methods and tools