ALM & Interest Rate Management Senior (Counterparty Risk) - Investments & Capital Markets

Employer
Freddie Mac
Location
McLean, VA
Salary
Competitive
Posted
Jul 12, 2019
Closes
Jul 24, 2019
Ref
12141BR
Function
Audit and Tax
Hours
Full Time
Freddie Mac's Investment and Capital Markets (ICM) Division is currently seeking Senior to support ICM's new responsibilities of managing of counterparty risk resulting from Retained Portfolio and Treasury activities such as hedging, sells and purchases , and repo . The Senior will join the Counterparty Risk group within the Asset-Liability Management (ALM) department. The group is currently responsible for counterparty approval, developing methodologies for measuring counterparty creditworthiness and risk, setting risk limits, managing day-to-day risk via risk limit allocation.

Your Work Falls into Two Primary Categories:

Business Execution
  • Execute department's applications used to manage counterparty risk.
  • Prepare and present annual credit reviews of financial institutions. This includes comprehensive analysis of counterparty risks of global banks, broker/dealers, REITs and asset managers
  • Work closely with traders, portfolio managers across all ICM desks by providing assistance in evaluation of the incremental intraday counterparty risk resulting from their trading activities
  • Continuously interact with Finance, Legal, SF and MF counterparty risk management groups, etc.

Analysis and Development
  • Perform analyses on large quantities of complex security-level data to support the process of ensuring the data quality
  • Support implementation of counterparty risk models for new products and initiatives by utilizing various approaches including sensitivity analyses, stress testing, value-at-risk, and scenario testing
  • Develop validation reports
  • Perform analyses on large quantities of complex security-level data to support the process of ensuring the data quality
  • Prepare documentation including presentation materials containing information on the review processes and results, model/methodology documentation, procedures, etc.
  • Remain familiar with industry counterparty risk/trends, including credit, regulatory and legal issues, amongst others


Qualifications

Qualifications
  • 5-7 years of functional and industry experience in fixed income pricing, risk modeling and counterparty credit evaluation
  • Degree in quantitative finance, econometrics, or other quantitative fields (engineering, applied mathematics, physics or statistics)
  • Technically and quantitatively oriented with proven ability to thoroughly understand technical research.
  • Basis level of understanding of the fixed income market and securities
  • Technical skills including proficiency in SQL and relational database, advance Excel data analysis and VB programming experience preferable.

Keys to Success in this Role
  • Ability to work with and collaborate across the teams
  • Ability to learn quick
  • Stay current with your skills
  • Take initiative and follow-up
  • Accept responsibility

Top Three Personal Competencies to Possess
  • Partnership: Build trust and strong partnerships through my own and my team's actions
  • Growth and Development: Know or learn what is needed to deliver results and successfully compete
  • Drive for Execution: Be accountable for strong individual and team performance


Preferred Skills

Preferred Skills
  • A working knowledge of model-based techniques for valuing interest rate and credit derivatives preferable
  • Working knowledge of statistics and econometric concepts
  • Moderate understanding of financial statements
  • Technical skills including proficiency in SQL and relational database, advance Excel data analysis and VB programming experience preferable.
  • Strong communication skills, both oral and written.
  • Ability to work effectively under tight deliverable timelines


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. Freddie Mac is an equal opportunity and top diversity employer. EOE, M/F/D/V.

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