AEAweb: JOE

G0 Finance
C0 Mathematical & Quantitative Methods

Risk Modelling Director — McLean VA--If qualified and interested please apply online at www.FreddieMac.com, click on 'Careers', Job Search and type in the job number -174604. Job Summary: The primary focus of the position entails evaluating the company's prepayment models. This includes planning and carrying out/managing reviews of these models or potential alternatives, monitoring model performance, and communicating results to modelers and others, including senior staff. Other job duties will focus on evaluation of other models used by the company, primarily mortgage valuation models. The candidate should possess excellent econometric skills, with experience preferably in estimating models based on large panel data sets. Excellent SAS skills or the equivalent is required. A solid background in economic theory is preferred, as is experience in programming in Matlab or similar languages. Excellent communication skills, both written and oral, are required.
[ JOE ID# 20070807201 ]

G0 Finance
C0 Mathematical & Quantitative Methods

Risk Modelling Director — McLean VA--If qualified and interested please apply online at www.FreddieMac.com, click on 'Careers', Job Search and type in the job number -174650. Job Summary: Design and perform detailed model review and validation procedures. Design and conduct quantitative analysis in support of the risk oversight, risk management, and modeling functions. Design and conduct detailed evaluations of models, model changes, and model applications as required. Evaluation requires careful assessments of theoretical and methodological foundation, empirical evidence, implementation, and business impact. Successful communication of results and action items from model and reviews/real-time model assessments to model owners, model users, and management. Develop and/or modify framework for model risk measurement and reporting; Monitor the performance of the models; Identify the source when there is model breakdown, and offer remedies. Design and conduct quantitative analysis in support of the risk oversight, risk management, and modeling functions. Assist in the design and development of methods for measuring risk and return relationships, such as value at risk and stress testing. Design and implement systems for risk measurement and reporting. Job requires a MA, MS, MBA or PhD in Finance, Statistics, Mathematics, Computer Science or related field and at least 5 years of experience in quantitative and statistical skills. Experience in fixed-income markets and instruments, computer programming--including VBA/SAS/Matlab or database management preferred.
[ JOE ID# 20070807202 ]

Work will emphasize models, analytics, numerical methods, and risk metrics used to manage Freddie Mac's credit guarantee business. Preferred candidate will have background in mortgage and capital markets related to valuation of financial instruments, risk management, and/or model validation. Required skills include familiarity with econometric, statistical and optimization techniques; strong programming skills; and strong written and verbal communication skills. Please Note: The candidates selected for these positions will be required to sign a restrictive covenant (non-compete) agreement as a condition of employment in these positions. Freddie Mac will consider applicants who require H-1B sponsorship, but only if the applicant has at least three years of H status remaining out of the original six years of permissible H status. In order to be considered for permanent residence sponsorship, the individual must be employed with the company for 12 months and meet or exceed annual performance objectives established by their management team. This is a minimum requirement for sponsorship. The decision whether to sponsor an individual for nonimmigrant or immigrant status rests exclusively with Freddie Mac. Freddie Mac offers a competitive salary and flexible benefits package. Freddie Mac is an equal opportunity employer who firmly supports and recognizes the value of diversity. EOE M/F/D/V.