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发帖数: 5 | 1 Freddie Mac’s Enterprise Risk Management Division is currently seeking a
Quantitative Analytics Manager to evaluate and manage risks associated with
the company’s models, including interest rate models, mortgage and
derivative valuation models, and economic capital models.
Responsibilities include:
• Assess model risks by performing detailed model validation
reviews, evaluating performance thresholds, researching model approaches,
creating alternative models 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.
• Monitoring and reporting on model performance
• Provide assessments of model risks
• Working with model developers and users to manage model risks
• Follow Model governance requirements and monitor compliance with
model governance requirements.
Qualifications
• PhD in Finance, Economics, Statistics, Quantitative Finance, or a
related quantitative field such as Physics, Mathematics or Engineering with
at least 3 years of post-doctoral experience in interest rate modeling,
valuation models, and derivatives pricing
• OR MS in Financial Engineering, Economics, Statistics,
Quantitative Finance, or a directly related quantitative field with at least
5 years of related post-graduate work experience in quantitative finance or
risk management
• Demonstrated knowledge of stochastic calculus and one or more of
valuation models, term structure models, and economic capital models
• Programming skills in one or more of SAS, MATLAB, C++, or related
languages
• Exceptional quantitative, empirical analysis, and research skills
• Comfortable working with large data sets
Preferred Skills
• Strong verbal and written communication skills
• Strong analytical skills with orientation to detail
• Experience with mortgage analytics
• Strong statistical econometric modeling skills | h*y
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