Data Scientist II - Hybrid

Responsibilities

• Estimating, validating, monitoring, and implementing consumer credit models focused on mortgage default and prepayment.
• Leveraging statistical and econometric methods within a structural modeling framework while leveraging cloud computing solutions.
• Applying models to estimate mortgage insurance cash flows including claim incidence, claim severity, required capital, expected premium, return on equity, existing mortgage insurance policy attrition, and new insurance policy acquisition.
• Researching, developing, and making recommended changes to existing models and new models.
• Supporting economic scenario simulation, economic capital, and portfolio optimization.
• Leveraging machine learning, AI, and econometrics in hybrid model design using Big Data and unstructured data to cultivate and leverage business insights.
• Effectively communicating technical findings and recommendations to nontechnical management teams.

Qualifications

• Strong understanding of probability modeling.
• Strong analytical background, along with the ability and willingness to effectively make recommendations on transactions based on sound business judgment.
• Knowledge in SAS, R, C++, or python for data analysis and modeling.
• Experience leveraging AWS-based applications and resources (EC2, EMR, S3, Lambda, Jupyter Notebook, Zeppelin, Spark).
• Expert mathematical, statistical, and econometric knowledge.
• Strong understanding of financial analysis of structured mortgage products.
• Experience leveraging cloud computing.
• Able to work in a team environment.
• Able to effectively summarize and communicate relevant findings and other information.