Statistician/Modeler

Job Description

As part of the modeling team, you will create the analytics that help drive the business at Andrew Davidson & Co., Inc.

You will develop and improve credit models for mortgages and other asset classes using the most recent methods from both statistics and machine learning. You will not only have a deep understanding of your research, but you will also be able to clearly communicate useful results to both modelers and model users.

As a statistician/modeler and machine learning/data analytics researcher you will:

• Develop and maintain prepayment and credit models for mortgages and other consumer and commercial loans.
• Identify, clean and manipulate data to address missing or incorrect information, choose proper statistical models and parameterize the models.
• Interpret data trends, economic influences, and other factors to improve our modeling efforts.
• Validate and document the statistical models for internal and external use.
• Write and present technical and non-technical reports about the models and its applications.
• Monitor developments to determine the need for new or improved models and analytical procedures.

Qualifications

• 1. Fresh PH.D. or Master’s in statistics or in a related field to statistics
  2. Some experience with mortgage credit modeling (prepayments, defaults, severities)
  3. Modeling experience in the origination space
• You’ve worked with statistical models such as linear and non-linear regression, logistic regression, and generalized linear models.
• You understand performance measures such as area under the curve (AUC), and the receiver operating characteristic (ROC) curve.
• You are proficient in packages such as SAS, SQL, and C++.

Good to Have

• You know machine learning techniques.
• You have some knowledge about fixed-income finance.

Please send your resume and a cover letter in confidence to careers@ad-co.com with the title of the position that you're interested in the subject line.