Quantitative Analytics Manager - Capital Markets Model Validation

Freddie Mac • Mc Lean, VA 22107

Posted 1 week ago

Job Description

Freddie Mac's Enterprise Risk Management Division is currently seeking a Quantitative Analytics Manager to evaluate and manage risks associated with the company's capital market models, including interest rate models and mortgage valuation models.

Responsibilities include:

* Assess model risks by performing detailed model validation reviews, evaluating performance thresholds, researching model approaches, creating alternative methodologies and other means.

* Report findings to model owners and management, and ensure those findings are addressed appropriately.

* Make expert recommendations to Senior Management about proposed new models or model changes, and advise them on quantitative and theoretical issues.

* Works on issues of diverse scope where analysis of situation or data requires evaluation of a variety of factors, including an understanding of current business trends.

* Acts as an advisor to subordinates to meet schedules and/or resolve technical problems. Often must lead a cooperative effort among members of a project team.

* Provide assessments of model risks, document and review validation reports

* Follow and execute model governance procedures, and monitors compliance with the governance requirements.

* PhD in a quantitative finance, statistics, or a related quantitative field with at least 3 years of post-doctoral experience (or Master's with 5+ years of experience)

* Demonstrated knowledge of applied probability and one or more of mortgage valuation models, term structure models, and economic capital models

* Programming skills in one or more of C, C++, Python, MATLAB or related languages

* Exceptional quantitative, empirical analysis, and research skills

* Strong verbal and written communication skills

* Strong analytical skills with orientation to detail

* 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.

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