Senior Quantitative Analytics: Credit Risk & PD Modeling

Freddie Mac; McLean (VA); On-site; USD 126,000 - 190,000; Full time

Job summary

Freddie Mac's Investments & Capital Markets Division seeks a Quantitative Analytics Senior to design, develop, and implement PD/LGD/EAD models for counterparty credit risk across a range of financial institutions. The role focuses on robust modeling, validation, and governance, supporting Freddie Mac's risk management framework and strategic objectives.

You will collaborate with the Counterparty Credit Risk Management Team, apply econometrics and predictive modeling techniques, and leverage

Qualifications

• Knowledge of econometrics modeling techniques.
• Strong quantitative, empirical analysis, and research skills.
• Coursework or experience applying predictive modeling to large data sets in finance or data science.
• Experience writing statistical/optimization programs in Python, SQL, R, or MATLAB.

Responsibilities

• Design, code and maintain counterparty credit risk models (PD/LGD/EAD).
• Incorporate best practices while addressing institution-specific risks.
• Collaborate with the Counterparty Credit Risk Management (CCRM) Team to model risks for various institutions.
• Design model enhancements to address AUAs and respond to findings from audits and reviews.
• Prepare quarterly performance monitoring reports and support model governance.

Skills

Python

SQL

Econometrics

Statistics

Communication

R

MATLAB

Java

Education

PhD in econ/fin/stats

Tools

SAS

MATLAB

Job description

Freddie Mac's Investments & Capital Markets Division seeks a Quantitative Analytics Senior to design, develop, and implement PD/LGD/EAD models for counterparty credit risk across a range of financial institutions. The role focuses on robust modeling, validation, and governance, supporting Freddie Mac's risk management framework and strategic objectives.

You will collaborate with the Counterparty Credit Risk Management Team, apply econometrics and predictive modeling techniques, and leverage