AVP, CONSUMER MODELING

About the role

The candidate will be joining the research team at Bayview Asset Management in the position of Assistant Vice President, Research - Consumer Modeling. At Bayview Asset Management, the research team develops and implements statistical models for the valuation of mortgage loans and consumer loan products.

Responsibilities

• Development of various risk and credit models using in-house and/or bureau data for use across the business to drive consumer credit underwriting and/or ABS deal pricing decisions
• Create forecasting models using market-level data for consumer loan products at both the loan-level and pool levels, and help develop stress testing scenarios in response to macroeconomic events
• Aid in building out the consumer modeling team’s modeling and analysis repositories
• Build loan performance monitoring suites and create early warning systems of adverse performance within consumer loan portfolios
• Establish data feeds and dashboards necessary to track and monitor loan applications, loan decisions, and loan performance for various Bayview emerging consumer lending businesses
• Develop and maintain credit risk strategies and origination policies for various Bayview emerging consumer lending businesses

Qualifications

• Bachelor’s degree in related field; engineering, mathematics, economics, business, data science. Preferred master’s degree in related field
• Experience with statistical program languages (Python, R, SAS, Stata), experience with SQL databases, and reporting / business intelligence tools (PowerBI, RShiny, Dash, Tableau)

Skills

• Demonstrated expertise in a programming language for statistical analysis (Python strongly preferred)
• Demonstrated expertise building credit risk models
• Experience with statistical modeling frameworks, e.g. linear regression, logistic regression, gradient boosting, random forests
• Ability to develop clear visualizations of data using a visualization software
• Strong quantitative skills and a high aptitude for problem solving
• Exceptional verbal and written communication abilities

Compensation

Base compensation is expected to be $160-200k, with opportunity for a performance-based bonus.