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Marketing Quantitative Research Analyst

Company

Federal Home Loan Bank of New York
Address , New York, Ny
Employment type FULL_TIME
Salary $90,000 - $125,000 a year
Expires 2023-08-01
Posted at 11 months ago
Job Description
The Marketing Quantitative Research Analyst supports MAP product strategy, refining loan eligibility standards and credit structure design through quantitative analysis of mortgage loan credit, performance and other characteristics. The role also performs model owner duties for credit models used by the department. The role may represent the business in enterprise technology, modeling and risk working groups and committees,
1.Support Mortgage Credit Models and analysis used for loan eligibility
a. Support and upgrade mortgage credit models.
b. Document mortgage credit models.
c. Benchmark & back test mortgage credit models.
d. Identify or develop challenger models.
e. Respond to model-related requests and remediate findings from model validators, internal and external audit, and the regulator.
f. Automate model integration with loan database in collaboration with I.T.
g. Determine principal drivers of mortgage credit to including Home Price Index (HPI) to explain model results.

2.Provide Mortgage Market Surveillance for decision support
a. Develop prepayment and performance reports on mortgage loan cohorts.
b. Automate analytics and surveillance report generation and publication.
c. Benchmark AMA loan cohorts against GSE cohorts.
d. Perform ad-hoc credit research for new mortgage sellers, emerging products, geography and underwriting characteristics.
e. Research credit characteristics of potential new product classes.

3.Assist sales force by discussing loan credit quality with our client seller-servicers

4.Develop data visualizations for business strategy, marketing and sales management.
Skills:
  • Development, benchmarking, backtesting, calibration and validation of statistical models. Application of statistical methods for predictive modeling such as: Monte-Carlo simulation, multivariate regression, generalized linear models, logistic regression, Poisson regression, AUC-ROC, principal component analysis, cross-validation, AIC, testing for normality, multicollinearity, and autocorrelation. Familiarity with machine learning: clustering, decision trees and random forests a plus.
  • Programming in Python or R with SQL for statistical analysis, aggregation, analysis and visualization of time series datasets.
  • Mortgage product experience preferred.
  • Strong analytical, financial, interpersonal, verbal and written communication skills.
  • Relevant knowledge of basic mortgage finance and performance reporting, such as prepayment and credit performance analysis and statistical default-loss modeling.
Experience:
Two years’ experience performing a combination of statistical modeling, machine learning development, econometric analysis, financial modeling or performance reporting for mortgages.
Chartered Financial Analyst (CFA) preferred.
Salary Range: $90,000 - $125,000.
Skills: