Quantitative Analytics Professional

Freddie Mac•McLean, VA

About The Position

Freddie Mac’s Investments & Capital Markets Division is seeking a Quantitative Analytics Professional for its Models & Analytics team. The role creates, develops, and executes analytic models supporting Counterparty Risk Management, with a primary focus on measuring exposure driven by market risk factors across products and counterparty types. Work may also include counterparty credit risk exposure, loss-given-default (LGD), and credit rating models. The position offers opportunities to learn and develop across other modeling areas, including market risk capital, operational loss forecasting, prepayment and default, and rates and derivatives. The role designs, develops, and implements counterparty risk models for a variety of financial institutions, primarily Exposure at Default (EAD) models. These models support counterparty credit risk management at both individual-counterparty and portfolio levels. The professional collaborates with Counterparty Credit Risk Management and other stakeholders to understand products and their associated risks, maintains model controls, supports model governance, and improves model performance and implementation.

Requirements

Master’s degree in quantitative finance, statistics, or a related quantitative field.
Coursework or work experience developing and implementing financial models, with demonstrable knowledge of quantitative modeling and statistical analysis.
Strong programming skills in Python and SQL.
Strong programming, technical, and analytical skills, with attention to detail.
Excellent verbal and written communication skills.

Nice To Haves

Coursework in areas such as econometrics, statistics, mathematical programming, optimization, computational methods, simulation, mortgage-backed securities, derivatives pricing, fixed income, or term structure of interest rates.
Experience with market risk and mortgage-related modeling and analytics.
Familiarity with Java, C++, MATLAB, or SAS.

Responsibilities

Design, code, and maintain consistent counterparty risk models, including EAD, PD, and LGD models.
Apply modeling best practices while accounting for the unique characteristics and risks of each financial institution.
Collaborate with Counterparty Credit Risk Management to understand financial products, including MBS, CMO, ARM, whole loans, credit risk transfer, and insurers, and model their associated risks.
Design and code model enhancements to address agreed-upon actions arising from model reviewers, internal auditors, and regulatory examiners.
Design and produce performance monitoring reports on a regular cadence and respond to stakeholder inquiries.
Review changes to relevant corporate policies, standards, and procedures and act as a liaison for associated model implementation and validation.
Understand and comply with model controls for models owned by the team.
Collaborate with the Divisional Model Governance team to ensure compliance with model governance standards.
Partner proactively with teammates and users to develop ideas and continuously improve models.