Freddie Mac's Enterprise Risk Management Division is currently seeking a Quantitative Analytics Senior to support development and implementation of policies, procedures, and models that focus on analyzing and interpreting risk factors as they apply to existing and new products within Freddie Mac's portfolio. The Quantitative Analytics Senior will join the Economic Capital Group within the Enterprise Market & Funding Risk Management Department. The group handles economic capital methodologies for all risks; capital allocation for all transactions and products in SF, MF, and Retained Portfolio, including credit risk transfer transactions; risk-adjusted performance metrics; Use of economic capital for valuation analysis; evaluation of future business models capital requirements & fees; and firm-wide Economic Capital. In addition, the group supports FHFA in any capital related initiatives.
*Support the group's mortgage quantitative research initiatives and utilize economic capital models to assess asset-specific and portfolio risk
*Use existing corporate models and quantitative approaches to assess risk of portfolio holdings
*Support development of capital allocation for new products and initiatives, by utilizing various approaches including sensitivity analyses, stress testing, value-at-risk, scenario testing, and Monte Carlo simulations
*Support maintenance of group's models per established corporate and department model governance policies and procedures
*Develop documentation of department's models and procedures
*PhD in Economics (preferably Micro or Econometrics), Statistics, Computational Finance or a related quantitative field such as physics or engineering
*OR MS in Economics, Statistics, Quantitative Finance, or a directly related quantitative field with at least 3 years of related post-graduate work experience in quantitative finance or risk management
*Strong background in developing computing models that apply sophisticated analytical techniques . Ability to extract and analyzing raw data and statistical model output draw conclusions and make actionable recommendation
*At least 7 years of functional and industry experience in quantitative risk modeling
*Technically and quantitatively oriented with proven ability to thoroughly understand external technical research.
*Solid understanding of the fixed income market and securities
*Advanced statistical programming skills (Matlab, Mathematica, SAS or similar) plus advanced knowledge of Microsoft Excel
*Understanding of mortgage credit default and prepayment models and loss mitigation activities
*Working knowledge on mortgage and insurance industry
*Exposure to Basel or Solvency II regulatory capital requirements
*Good presentation 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.