OverviewBayview Asset Management, LLC seeks an AVP, Research in our New York, NY office to: study prepayment, default, severity, or home prices, focusing on Agency (Fannie, Freddie, FHA, VA) and Non-Agency Mortgages and implement results into appropriate pricing models; develop insight into borrower, servicer and lender behavior and analyze trends and changes; build predictive models using SAS and Python to predict future mortgage prepayments, defaults, and severity or home prices; develop quality C++ code to implement the predictive models; serve as project lead for data analysis or modeling projects; present research findings to the investment and or operational teams; developing cross-asset portfolio reporting, surveillance and pricing analytics for agency and non-agency RMBS, Scratch and Dent, Reperforming and Non-performing Residential Whole Loans, agency and non-agency Residential Whole Loans, and MSRs; deep data mining, including any combination of each: data cleaning, clustering and classification, pattern recognition, time series analysis, multivariate regression, and summarization with industry data from Loan Performance, eMBS, McDash, Intex, Moody’s, and TransUnion; and supervise and manage direct reports.
Minimum Requirements:Bachelor’s degree or foreign equivalent in Mathematics, Analytics, Finance, or related quantitative field plus four (4) years of experience as a Mortgage Research Associate or Mortgage Research Analyst, or similar position, in a structured products hedge fund or investment bank, and specifically with each of the following: analyzing loan-level mortgage performance data; implementing models; survival analysis statistics; SAS or other statistical software; SQL; loan performance; McDash; Excel; Visual Basic; programming experience and C++; Intex, R, Cas, Python; modeling experience of mortgage prepayments, defaults, severity, or home prices; and experience with mortgage origination processes and capital market activities, specifically non-agency market. Domestic travel required less than 10% of time.
Salary: $115,000 - $135,000/year
