OverviewBayview Asset Management, LLC seeks a VP, Mortgage Modeling in our Coral Gables, Florida office to: utilize minimum requirements as project manager and technical lead to develop predictive models to calculate prepayments, defaults, and loss given default for mortgages and other consumer loans; manage all default modeling projects; perform statistical analysis of large data sets using SAS and SQL, macro and micro economic modeling of mortgage behavior; use statistical techniques to calibrate models; develop architecture and manage development related to implementation in C++; interface with business side users of predictive models; and manage a team of analysts/modelers.
Minimum Requirements: Bachelor’s degree or foreign degree equivalent in Mathematics, Statistics, or related field and five (5) years of experience in a mortgage modeling position, and specifically with each of the following: statistical analysis of residential mortgage performance and/or consumer loans focusing on loan level models of borrower prepayments or defaults (involuntary prepayments); building predictive loan level models of prepayments or defaults of mortgages and/or consumer loans, with at least two (2) of those years of experience working on mortgage default models; implementing mortgage and/or consumer loan models in C++; developing statistical models using at least two of the following techniques: logistic models, hierarchical models, structural models, partial likelihood models (cox regression), or mixed models; non-linear modeling techniques including piecewise linear regressions and transformation of variables; working with the loan level mortgage data from at least two of the following data providers: Loan Performance, McDash, or eMBS; and performing statistical analysis and developing statistical models using a standard statistical software package (such as SAS or R or STATA). Must have one (1) year of experience supervising others as a project manager and training junior analysts.
Salary: $208,936/year
