Lead Quantitative Analytics/ Data Scientist

Portfolio Analysis

• Developing and enhancing valuation processes and risk metrics for our retained portfolio of mortgage products.
• Conducting sensitivity analysis and impact assessment for model updates and changes in model inputs.

Model Governance

• Preparing model documentation and conducting thorough model validation tests.
• Developing on-going performance monitoring and threshold methodology.

Business Support:

• Providing analytics support for trading and hedging activities.
• Working under limited direction, independently determining and developing approach to solutions.

• 10+ years of experience with modelling- with at least 3-5 years of experience model testing and model development.
• Candidate must have a quantitative degree- master's degree required but Doctorate is preferred., * Doctorate degree plus 3 years of working experience (or Master''s degree with equivalent 5 years of working experience) in statistics, data science or a related quantitative field.
• 5+ years of relevant experience applying predictive modeling techniques or data analytics to large datasets is preferred.
• Post-graduate work experience in mortgage valuation and statistical modeling
• Programming skills in one or more of Python, R, SAS or related languages
• Exceptional quantitative, empirical analysis, and research skills
• Experience working with large data sets and relational database
• Experience in statistical model development and implementation is preferred

Keys to Success in this Role:

• Exceptional quantitative, empirical analysis, and research skills
• Strong knowledge of survival analysis and mortgage valuation
• Strong programming skills and knowledge in big data analytics such as Apache Spark and AWS cloud computing
• Top 3 Personal Competencies to Possess:
• Drive for Execution - Execute effectively with a clear direction and objective, good ownership
• Partnership - Build trust and strong partnerships within the team; good team player
• Leadership - Set and execute upon a clear vision and goals; good communication, interpersonal, and leadership skills