Freddie Mac makes home possible for millions of families and individuals by providing mortgage capital to lenders. Benefits include:
At Freddie Mac, you will do important work to build a better housing finance system and you’ll be part of a team helping to make homeownership and rental housing more accessible and affordable across the nation.
As part of Freddie Mac’s return to the office pilot, all employees, contingent workers and visitors must be fully vaccinated against COVID-19 in order to be on-site unless they have an approved accommodation.
As a Quant in Economic Capital Modeling Group of Investments and Capital Markets Division (ICM ECMG), you will join a group of hardworking collaborative professionals with a diverse set of backgrounds that is dedicated to design and development of market risk capital modeling for the wide array of structured financial instruments such as (MBS and CMO) and credit risk capital modeling for structured Credit Risk Transfer (CRT) transactions. Quant should be self-motivated and eager to learn, creative, have strong computational background, and enjoy trying out/researching innovative ways and programming languages. Space provides development and learning opportunities across three modeling spaces: Market Risk Capital, Credit Risk Capital, and Counterparty Credit Risk Scorecards. Apply now and learn why there’s #MoreAtFreddieMac!
Work Type is Hybrid - 3 days in Office
Capital Modeling Group of Investments and Capital Markets Division (ICM ECG) is dedicated to design and development of wide variety of models including
- Market risk capital modeling for the wide array of structured financial instruments such as MBS and CMO,
- Credit risk capital modeling for structured Credit Risk Transfer (CRT) transactions.
- Credit Risk Models for financial institutions (logistic regression).
- Various other types of Capital Analysis including Capital offset of long and short positions.
Each of these capital modeling function support the objectives of the Investments and Capital Markets division and its customers by providing key inputs into assessing profitability of MBS/CMO trading activities and CRT transactions, Freddie Mac capital needs for successful exit out of conservatorship, capital reporting, while meeting client/customer needs
- Design, code and maintain 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.
- Collaborate with business users and trading desk to understand financial product structures in-depth in order to appropriately model unique associated risks.
- Design and code model enhancements in order to address agreed-upon actions (AUAs) in response to findings from model reviewers, internal auditors, and regulatory examiners.
- 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.
- On a monthly basis, design and run Performance Monitoring Reports, respond to questions from business users, model validation, and model risk oversight.
- Periodically review and understand changes of corporate capital policies, standards and procedures and act as a liaison in associated capital implementation validation.
- Own other standard parts of modeling job such as understanding and compliance with all official model controls related to models owned by the team.
- 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.
- Proactively partner with teammates and users to co-develop unique approaches and facilitate ideas.
- Doctorate degree (or Master's degree with equivalent work experience) in quantitative finance, statistics or a related quantitative field.
- Coursework or work experience applying predictive modeling techniques from finance, statistics, mathematics, data science, and computer programming to large data sets. Qualifying coursework may include—but is not limited to—statistics, mathematical programming, optimization, machine learning, computational methods, design and analysis of algorithms, Bayesian methods, derivatives, and Monte Carlo methods/modeling.
- Coursework or work experience writing statistical and/or optimization programs to develop models and algorithms. Programming languages may include—but are not limited to—Python, R, SQL, Java, SAS, and MATLAB.
- Strong Programming skills is a must! Python and SQL are most frequently used; other useful languages and software available in the company include Java, SAS, MATLAB, C.
- Outstanding quantitative, empirical analysis, and research skills
- Demonstrated knowledge of one or more of valuation models, term structure models, and economic capital models.
- Experience with mortgage modeling and analytics is preferred.
Keys to Success in this Role:
- Strong programming skills
- Strong technical skills (stats, math).
- Strong analytical skills with orientation to detail
- Good verbal and written communication skills
Current Freddie Mac employees please apply through the internal career site.
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.
We are an equal opportunity employer and value diversity and inclusion at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, disability status or any other characteristic protected by applicable law. We will ensure that individuals with differing abilities are provided reasonable accommodation to participate in the job application or interview process, to perform essential job functions, and to receive other benefits and privileges of employment. Please contact us to request accommodation.
Notice to External Search Firms: Freddie Mac partners with BountyJobs for contingency search business through outside firms. Resumes received outside the BountyJobs system will be considered unsolicited and Freddie Mac will not be obligated to pay a placement fee. If interested in learning more, please visit www.BountyJobs.com and register with our referral code: MAC.
Job Category:Research & Modeling