t*******8
发帖数: 67 | 1 Hi, all,
Happy New Year!
A financial institute is looking for a SAS statistics modeler, 5+
years with Statistics Modeling and Advanced SAS Programming, mortgage
related exp is plus, but not required. Candidates can come from other
industries, such as insurance, credit cards or pharmaceuticals.
If you are interested, please send me your resume in word format to tgan@
optionsgroup.com
if you need compensation and other information about this role, please email
me also.
Thanks,
Tom Gan
Position Description
The primary responsibility is to design, produce, and maintain loan level
statistical credit risk models of default and prepayment events, using both
loan-level information and macroeconomic variables for residential whole
loans.
Job Functions/Responsibilities
Design, produce, and maintain models of default, prepayment and severity
events for a full product suite of residential whole loans incorporating
both loan-level information and macroeconomic variables. Must be able to
conduct simulation and stochastic modeling of prepayment and default events.
Develop cash flow engines for portfolio of loans based on the statistical
models.
Develop pricing algorithms and analyses
Perform other ad hoc and quarterly analyses as needed.
Provide general expertise on market and emerging trends.
Perform stress analyses on entire portfolio or segments thereof.
Position Requirements
A MS or Ph.D. in Statistics/Biostatistics/Econometrics but with sound
experience in statistical modeling, especially strong knowledge in Survival
Analysis, Multinomial Logistic Regression, Generalized Linear Models,
Discrete-Time Stochastic Process, Monte-Carlo Simulations in the context of
credit risk modeling.
Minimum Experience:
5+ years of mortgage insurance, mortgage modeling, banking, or other related
experience with an emphasis on statistical modeling.
Minimum Knowledge and Skills Level
Knowledge of statistical techniques including multinomial logistic
regression, survival analysis, sampling theory, Monte-Carlo simulations, OAS
, and stochastic modeling.
Attention to detail and high level of accuracy in work product.
Advanced Programming Skills in SAS (especially, experience in dealing with
large-scale dataset such as mortgage loan-level dataset) and strong Excel/
VBA programming skill, familiar with C/C++;
Ability to make clear and effective written and oral presentations to
customers and company executives and project managers.
Ability to work on multiple projects simultaneously, anticipate necessary
effort and difficulty and adhere to mutually agreed upon schedules. |
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