Securitized Products Group (SPG) Warehouse lending desk strats and modeling• Marketplace Lending/Consumer Loans: conducted loan performance analysis and projection for multiple lending platforms; built analytical tools for customized loan origination and performance metrics, used by the deal team, asset management team and credit team frequently; held platform performance update meetings• Single-Family Rental: constructed cash flow models for SFR warehouse facility to run… Show more Securitized Products Group (SPG) Warehouse lending desk strats and modeling• Marketplace Lending/Consumer Loans: conducted loan performance analysis and projection for multiple lending platforms; built analytical tools for customized loan origination and performance metrics, used by the deal team, asset management team and credit team frequently; held platform performance update meetings• Single-Family Rental: constructed cash flow models for SFR warehouse facility to run customized and flexible base and stress scenarios, used by the deal team to originate multi-billion dollar warehouse deals; implemented web tools for rents, vacancy, home price analytics and SFR cash flow models in JavaScript and HTML; built and maintained database for MSA rents and vacancy in kdb/q• Residential Mortgage: - Built an interactive and automatic loan pricing and marking web tool that prices agency, non-agency resi, reperforming resi, SFR, and SFR bridge loans through five different loan pricing models with time pressure, used by trading desk daily to mark multi-billion dollar collateral - Enhanced the residential warehouse pricing and risk model in kdb/q, python, perl and significantly saved computational cost; went through certification process under strict scrutiny by Model Review• CLO Warehouse: Implemented the pricing and risk model with simulation of corporate loan prices, used to price multi-billion facilities daily; fitted loan index return distribution with mixed normal and jumps in R; enhanced model to meet the requirements from Model Review and Valuation Control Show less