Lead Quantitative Modeler

Fannie Mae Corp•Washington, DC

30d•$138,000 - $180,000•Hybrid

About The Position

As a valued colleague on our team, you will act as team lead while conducting theoretical and empirical research with public and proprietary data in all areas of the mortgage finance business. This may include mortgage products and securities, borrower behavior, investment and hedging strategies, residential property valuation, macroeconomic models, including housing prices and interest rate, financial valuation of finance assets and derivatives, economic capital, and stress testing. Additionally, you will coach and mentor team members. The Lead Quantitative Modeler role will offer you the flexibility to make each day your own, while working alongside people who care so that you can deliver on the following responsibilities: Evaluate proprietary and third-party modeling of economic drivers, financial instrument cash flow projections, the analytical systems and the input data used by those models to generate market risk sensitivity measurements. Leverage those evaluations to understand the differences between proprietary and third-party models/systems and identify potential enhancements to the proprietary models. Conduct ad-hoc analysis on new mortgage market trends and their impact on modeling mortgage instrument cash flows. Apply advanced skill, knowledge, and/or experience in translating complex business requirements into new proprietary modeling requirements for both economic driver models and financial instrument cash flow models, and into new implementation requirements for the analytics systems that rely on those models to generate measures of market risk exposure for a portfolio of financial instruments. Generate user acceptance test analysis results before proposed enhancements to the portfolio market risk exposure measurement process are adopted, to ensure they meet business needs. Make recommendation to business users on whether to adopt or not to adopt such enhancements. Communicate technical subject matter clearly and concisely to department leadership and teams.

Requirements

4 years' experience
Bachelor's degree

Nice To Haves

Bachelor degree or equivalent
Bachelor's degree with 6 years or Master's degree with 4 years or equivalent experience in quantitative sciences such as Physics, Applied Mathematics, Statistics, Economics, Finance, Computer Science, Engineering
Experience working as a Lead Analyst
Experience working with various stakeholders across Finance, Capital Markets and other lines of business
Experience developing solutions to customer needs and having trade-off discussions with customers
Proactive, creative problem solver with strong analytical skills. Must be able to define problem space as well as potential solutions
Demonstrated strong analytical and problem-solving skills to conduct analysis independently to address complex economic or business problems
Experience working with financial data, analytics and cashflows applications
Experience interpreting the results of econometric modeling and statistical analysis
Programming experience in coding and debugging custom SAS or Python scripts used for ad-hoc analysis of large datasets
Proficiency in Unix/Linux environment
Proficiency in SQL, relational and noSQL databases, query optimization and data modeling
Embraces new technologies, enjoys finding opportunities for making existing systems and processes more efficient and seizing those opportunities

Responsibilities

Evaluate proprietary and third-party modeling of economic drivers, financial instrument cash flow projections, the analytical systems and the input data used by those models to generate market risk sensitivity measurements.
Leverage those evaluations to understand the differences between proprietary and third-party models/systems and identify potential enhancements to the proprietary models.
Conduct ad-hoc analysis on new mortgage market trends and their impact on modeling mortgage instrument cash flows.
Apply advanced skill, knowledge, and/or experience in translating complex business requirements into new proprietary modeling requirements for both economic driver models and financial instrument cash flow models, and into new implementation requirements for the analytics systems that rely on those models to generate measures of market risk exposure for a portfolio of financial instruments.
Generate user acceptance test analysis results before proposed enhancements to the portfolio market risk exposure measurement process are adopted, to ensure they meet business needs.
Make recommendation to business users on whether to adopt or not to adopt such enhancements.
Communicate technical subject matter clearly and concisely to department leadership and teams.

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