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Join a credit risk modeling team that develops, builds, implements and validates models to forecast prepayment changes, projected delinquency levels and default estimation for its structured mortgage portfolio.
Provide quantitative and analytical support for pricing primary and secondary mortgage products
Look behind the SAS code to better understand how the estimation models work
Work on Portfolio Revenue and Loss Forecasting, Stress Testing, Establishing Risk and Concentration limits
Data Mining to identify market and customer trends that will contribute to changes in credit risk and portfolio risk management
Advanced Quantitative degree is preferred (statistics, math)
Must have the quantitative creativity to apply non-standard mathematical/statistical/econometric solutions to the firm's estimation modeling
1+ years' experience with Advanced Quantitative Modeling skills
Must have deep understanding of logistic regressions, competing hazards, maximum likelihood analysis and estimation modeling
Must have advanced SAS programming skills-a strong requirement
Strong data manipulation skills
Nice to have: mortgage prepayment modeling knowledge