Andrew Davidson & Co
Raleigh, NC, New York City and Sonoma, CA
About the Company:
Andrew Davidson & Co is the leading provider of analytical tools for mortgages and mortgage-backed securities. We develop and license prepayment and credit models as well as risk measurement tools that are the benchmark analytics used by top mortgage and commercial banks, insurers, credit unions, broker-dealers and money management firms. Our clients include some of the world’s largest institutional, fixed-income investors. The firm was established in 1992 and has offices in New York, Raleigh and Sonoma.
Professional curiosity and enthusiasm is encouraged, recognized and rewarded at AD&Co. The firm has continuously adapted to changing market conditions and looks to continue to adapt to a rapidly changing market due to changes in technology and regulation.
Diversity, Equity & Inclusion
Andrew Davidson & Co., Inc. is dedicated to fostering and celebrating diversity and inclusion, with the goal of equity for every individual.
About the Role:
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 mortgage 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.
- (a) Fresh PH.D. or Master’s in statistics or in a related field to statistics
(b) Some experience with mortgage credit modeling (prepayments, defaults, severities)
(c) 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++, Python, and R.
Good to Have:
- You know machine learning techniques.
- You have some knowledge about fixed-income finance.
What’s in it for you?
- The opportunity to work with industry leaders in MBS policy, modeling and financial engineering
- Small teams and mentors who foster career development
- The company’s success is your success: Incentives and bonuses are results driven
- Beautifully designed offices with resources in Raleigh, NC, New York City and Sonoma, CA
- Eat-in office café stocked with snacks and beverages
- Opportunities to travel, attend or speak at industry events
- Flexible work hours and vacation policy
- Comprehensive medical, dental, and vision insurance options
- Strong salary and equity packages, 401K savings plan
AD&Co is an equal opportunity employer. All applicants will be considered for employment without attention to race, color, religion, sex, sexual orientation, gender identity, national origin, veteran or disability status.