Job Description
About the position At Freddie Mac, our mission of Making Home Possible is what motivates us, and it's at the core of everything we do. Since our charter in 1970, we have made home possible for more than 90 million families across the country. Join an organization where your work contributes to a greater purpose. The position involves developing quantitative models for interest rates, fixed income securities, and derivative valuation, as well as counterparty risk calculation and implementing these models through programming languages.
Responsibilities include reviewing academic and industry literature, documenting model development, performing various analyses to test models, collaborating with stakeholders, maintaining model applications, and executing plans for model performance monitoring. Responsibilities • Develop quantitative models for interest rates, fixed income securities, and derivative valuation. • Implement models through programming languages. • Review academic/industry literature and Freddie Mac's documents to understand model development requirements.
• Document model development background, theories, assumptions, limitations, results, implementations, and process flows. • Perform analysis to test developed models, including impact analysis, sensitivity analysis, what-if scenario analysis, stress testing, and back-testing. • Collaborate with various stakeholders in model development projects. • Maintain model applications for implementation, data storage, and risk reporting. • Execute plans and procedures for model parameter updates and performance monitoring.
• Identify and report process issues and propose remediating actions. • Perform ad-hoc tasks related to responsible models. Requirements • Master's degree in economics, finance, mathematics, statistics, or a related quantitative field. • Demonstrated knowledge of general business, finance, fixed-income, and mortgage products. • Experience applying techniques from finance, statistics, mathematics, and data science for quantitative modeling problems. • At least five of the following programming languages/applications: MATLAB, Python, Excel, VBA, C++, SQL, and Visio.
Benefits • Competitive compensation • Market-leading benefit programs • Annual incentive program Apply tot his job