Freddie Mac’s Investment & Capital Markets Division (I&CM) is looking for passionate and creative Quantitative Modeling and Analytics Manager to join I&CM Economic Capital Group devoted to development of new capital models for the wide array of financial instruments that I&CM manages. As a member of the team you will join a group of enthusiastic collaborative professionals with diverse backgrounds that use their creativity, technical skills and passion to design solve wide range of practical business problems in finance with the primary focus on Economic Modeling. Modeler should be creative, passionate and collaborative, have strong computational and market risk modeling background. This is an individual contributor role.
Your Work Falls Into These Primary Categories:
Model Development and Research
- Develop 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.
- Work with the I&CM model owners whose models are leveraged in the estimation of economic capital.
- Work 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.
- Act 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.
- PhD in Statistics, Economics or a related quantitative field with at least three years of related post-graduate work experience; or Master degree with at least six years of related experience.
- Demonstrated knowledge of applied probability and one or more of valuation models, term structure models and/or economic capital models
- Programming skills in one or more of C, C++, Python, R, MATLAB or related languages
Key to Success in this role
- Solid understanding of regulatory market and credit risk capital measurement approaches
- Exceptional quantitative, empirical analysis, and research skills
- Strong knowledge of econometric models, tools and techniques
- Strong programming skills
- Strong verbal and written communication skills
- Strong analytical skills with orientation to detail
Top 3 Personal Competencies to possess
- Drive for Execution – Execute effectively with a clear direction and objective, good ownership
- Partnership – Build trust and strong partnerships within the team; good team player
- Leadership – Set and execute upon a clear vision and goals; good communication, interpersonal, and leadership skills
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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