Xu Chen
About Xu Chen
Xu Chen is the Director of Quantitative Modeling at Fannie Mae, specializing in model development and validation with extensive experience in data science and quantitative analysis.
Title
Xu Chen is currently the Director of Quantitative Modeling at Fannie Mae. In this role, he leads a team focused on building prepayment models for MBS trading utilizing deep learning techniques.
Career at Fannie Mae
Xu Chen currently works as the Director of Quantitative Modeling at Fannie Mae. In this role, he spearheads the development and validation of models, specializing in deep learning techniques for prepayment modeling. His team primarily focuses on leveraging advanced machine learning techniques to improve MBS trading strategies.
Previous Experience at Capital One
Prior to his role at Fannie Mae, Xu Chen worked as a Senior Manager, Data Scientist at Capital One from 2020 to 2022. Over his two-year tenure, he contributed to a range of data science projects, enhancing model accuracy and implementing sophisticated algorithms.
Experience at Freddie Mac
Xu Chen served as a Quantitative Analyst, Manager at Freddie Mac from 2016 to 2020. In this role, he was actively involved in the Washington D.C. Metro Area, focusing on mortgage modeling and other quantitative analyses. His contributions included creating models for housing price predictions and mortgage collateral assessments.
Early Career
Xu Chen began his career at Monitoring Analytics as an Analyst from 2013 to 2015. He then worked at JPMorgan Chase & Co. as an Associate, Mortgage Modeling between 2015 and 2016. In 2012, he also spent 11 months as a Consultant at The World Bank in the Washington D.C. Metro Area.
Educational Background
Xu Chen earned a Ph.D. in Energy Economics from Penn State University, where he studied from 2009 to 2013. He also holds a Bachelor of Science in Geology and a Bachelor of Arts in Economics from Peking University, both completed in 2009 after four years of study.
Specializations and Expertise
Xu Chen specializes in model development and validation. His expertise spans CCAR, housing price modeling, mortgage collateral, default and prepayment models, acquisition scorecards, consumer behavior analysis, fraud detection, and load forecasting. He is experienced in techniques including Transition/Multi-step ML pipeline design, SVM, GBM, Random Forest, PCA, and NLP models.
Awards
Xu Chen received Elsevier’s Outstanding Reviewer Award in 2015 and 2018. These accolades honored his contributions as a referee for microeconomics modeling publications.