Quantitative Analytics Professional

Freddie Mac•McLean, VA

2d•$105,000 - $157,000

About The Position

Freddie Mac’s Investments & Capital Markets Division is seeking a Quantitative Analytics Professional for its Models & Analytics team. The role is responsible for creating, developing, and executing analytic models in support of Counterparty Risk Management. Its primary focus is 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 supports continued learning and development in 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, with primary emphasis on Exposure at Default (EAD) models. These models provide inputs to counterparty credit risk management at both individual-counterparty and portfolio levels.

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 technical and analytical skills, with attention to detail.
Excellent verbal and written communication skills.

Nice To Haves

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

Responsibilities

Design, code, and maintain consistent counterparty risk models, including EAD, PD, and LGD models, while accounting for the unique characteristics and risks of each financial institution.
Collaborate with Counterparty Credit Risk Management to understand financial products and model their associated risks, including MBS, CMO, ARM, whole loans, credit risk transfer, and insurers.
Design and code model enhancements to address agreed-upon actions in response to findings from model reviewers, internal auditors, and regulatory examiners.
Design and produce performance monitoring reports on a regular cadence and respond to stakeholder inquiries.
Review relevant corporate policies, standards, and procedures, and act as a liaison in associated model implementation 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 continually improve models.