Washington, DCUSA 20001
January 4, 2012
I built a team focused on forecasting mortgage prepayments at Fannie Mae and developed much of the infrastructure used for model development and performance modeling. I have also developed mortgage credit models, interest rate models, spread models, and derivatives pricing models.
SAS, R, Matlab, C++, regression trees, generalized additive models, optimization, various time series regressions.
I hope to meet other modelers and consumers of analytics.
For the past 15 years I have ran analytics efforts in the invesment management industry. Most recently I was leading the development of analytics at Fannie Mae.