OverviewBayview Asset Management, LLC seeks an Associate Quantitative Strategist in our New York, NY location to build predictive models using either Python or R to make accurate investment decisions and forecast future behavior based on research, market trends and data. Implement statistical models and loan cash flow engines with Python code framework. Develop cross-asset portfolio risk reporting, surveillance and analytics for finance products, including but not limited to Unsecured Consumer Loans, Home Improvement Loans, Solar Loans and Auto Loans and structural products backed by them. Develop efficient data management, surveillance, and quality assurance procedures for all internal and external data sources. Perform ad hoc deal valuations, collateral analysis, stress tests and relative value investment strategies.
Hybrid working model requires work in the office 2 days of the week; with remainder working from home.
Minimum Requirements:Master’s degree or equivalent in Statistics, Computer Science, Applied Mathematics or Operations Research, or a related quantitative field plus four (4) years of experience as a Quantitative Strategist or related, and specifically in each of following: deep data mining, including: data cleaning, clustering and classification, and multivariate regression. Three (3) of the four (4) years of experience must include: building longitudinal regression-based prepayment, default forecast models for unsecured consumer loans, home improvement loans and solar loans; building cash flow engines with VBA, Python and R for unsecured consumer loans, home improvement loans and solar loans; any combination of three or more of the following: developing portfolio risk reporting, surveillance and pricing analytics for Unsecured Consumer Loans, Home Improvement Loans and Solar Loans; working with SQL, database, and ETL frameworks for data extraction, transformation, and loading; machine learning; and summarization with industry data from DV01, Intex, and Counterparts. One (1) year of experience working at a loan originator working on credit strategy/analysis and data science credit modeling.
Hybrid working model requires work in the office 2 days of the week; with remainder working from home.
Salary: $133,250/year
