Freddie Mac Quantitative Analytics Dir in McLean, Virginia
McLean, VA 4
Full Time/Part Time:
Freddie Mac’s Investment & Capital Markets Division (I&CM) currently is seeking a Quantitative Analytics Director to lead a new team devoted to economic capital modeling for the wide array of financial instruments that I&CM manages. This team is part of the first line modeling organization.
• Lead the development and improvement of consistent economic capital models that can be applied to the financial instruments currently managed by I&CM. These models must incorporate economic capital best practices while simultaneously accounting for the unique characteristics and risks of each financial instrument.
• Coordinate with the I&CM model owners whose models are leveraged in the estimation of economic capital.
• Coordinate with the I&CM Financial Engineering team to ensure successful implementation of economic capital models in valuation tools used by portfolio managers and other economic capital model users.
• Collaborate with the 1st line Model Governance team in I&CM to ensure that economic capital models adhere to Freddie Mac’s model governance standards. Most important, work with the 1st line Model Quality Assurance team to develop an effective challenge to all proposed economic capital models.
• Communicate economic capital modeling approaches (including their limitations and assumptions) to the economic capital model users such as portfolio managers and senior management within I&CM to guarantee (a) that I&CM stakeholders fully understand the rational for economic capital proposals and (b) that all relevant characteristics of each financial instrument are captured appropriate by proposed economic capital models.
• Devise and implement effective methods for the on-going model monitoring of economic capital models in order to identify and mitigate incipient model degradation and changes in their limitations/assumptions and operating environment.
• Act as an advisor to peers and subordinates to meet schedules and/or resolve technical problems. Often must lead a cooperative effort among members of a project team.
Work Location Zip Code:
Investments & Capital Markets
• PhD in a quantitative field such as Physics, Mathematics, Statistics or Engineering or a directly related quantitative field with at least 3 years of post-doctoral experience in one or more of interest rate modeling, mortgage valuation or derivative valuation
• OR MS/MFE in Financial Engineering, Quantitative Finance, Statistics or a directly related quantitative field with at least 5 years of related post-graduate work experience in quantitative finance or quantitative risk management
• Demonstrated knowledge of applied probability and one or more of valuation models, term structure models, and economic capital models
• Excellent understanding of regulatory market and credit risk capital measurement approaches
• Programming skills in one or more of C, C++, Python, MATLAB, SAS or related languages
• Exceptional quantitative, empirical analysis, and research skills
• 2+ years of management experience
Work Location City:
Quantitative Analytics Director
• Strong verbal and written communication skills
• Experience managing quantitative professionals
• Experience with mortgage analytics
Today, Freddie Mac makes home possible for one in four home borrowers and is one of the largest sources of financing for multifamily housing. Join our smart, creative and dedicated team and you’ll do important work for the housing finance system and make a difference in the lives of others. Freddie Mac is an equal opportunity and top diversity employer. EOE, M/F/D/V.
Work Location State:
Quantitative Analytics & Modeling
Investments & Capital Markets