Quantitative Analytics Tech Lead – Economic Modeling

Freddie Mac•McLean, VA

About The Position

Freddie Mac’s Investments & Capital Markets (I&CM) Division is seeking a Quantitative Analytics Tech Lead to join the Models & Analytics group to develop and enhance mortgage prepayment, default and severity models for portfolio management. The team is responsible for developing models and conducting quantitative analysis to support valuation and hedging of mortgage products. The Modeling and Analytics group in Freddie Mac's Investments and Capital Markets division develops financial and statistical models that are used for valuation and risk analytics purposes. The successful candidate will contribute to the development of mortgage valuation model and conduct portfolio analysis to support trading and hedging activities.

Requirements

Doctorate degree plus 3 years of working experience (or Master's degree with equivalent 5 years of working experience) in statistics, data science or a related quantitative field.
5+ years of relevant experience applying predictive modeling techniques or data analytics to large datasets is preferred.
Post-graduate work experience in mortgage valuation and statistical modeling
Programming skills in one or more of Python, R, SAS or related languages
Exceptional quantitative, empirical analysis, and research skills
Experience working with large data sets and relational database
Experience in statistical model development and implementation is preferred

Nice To Haves

Exceptional quantitative, empirical analysis, and research skills
Strong knowledge of survival analysis and mortgage valuation
Strong programming skills and knowledge in big data analytics such as Apache Spark and AWS cloud computing

Responsibilities

Developing mortgage prepayment, default and severity models that assess market risk of mortgages, mortgage backed securities, and senior-sub structured products
Applying statistical modeling and big data analytics tools and developing innovative solutions for forecasting mortgage borrower behavior
Conducting research on industry models, market conditions, and regulatory environment.
Developing and enhancing valuation processes and risk metrics for our retained portfolio of mortgage products.
Conducting sensitivity analysis and impact assessment for model updates and changes in model inputs.
Preparing model documentation and conducting thorough model validation tests.
Developing on-going performance monitoring and threshold methodology.
Providing analytics support for trading and hedging activities.
Working under limited direction, independently determining and developing approach to solutions.