Quantitative Modeling –Interest Rate Modeling- Advisor

Fannie Mae • Reston, DC

2d • $155,000 - $209,000

About The Position

Fannie Mae is hiring a Quantitative Modeling – Interest Rate Modeling – Advisor to serve as a subject-matter expert in one or more key modeling areas related to interest rate models. The role applies advanced quantitative principles, techniques, and theories to theoretical and empirical research using public and proprietary data in investment and capital markets and hedge accounting. Areas of focus may include interest rate modeling, term structure, curve construction, derivatives valuation, future potential exposure for derivatives, and hedge evaluation for hedge accounting.

The advisor contributes across the model development cycle, from prototype research and development through production implementation and testing. The role also performs user ad-hoc analysis and ongoing model monitoring. Employees in most roles are expected to work onsite regularly at their designated office; the in-office cadence is determined by the manager. Proximity within a reasonable commute is preferred unless a role is noted as open to remote.

Requirements

• At least 6 years of experience.
• Curiosity and adaptability in learning and responsibly applying new technologies, including artificial intelligence.
• Bachelor’s degree (required).
• Python programming skills.

Nice To Haves

• Doctorate degree in a highly quantitative field.
• Demonstrated experience building models for derivatives valuation and/or term structures.
• Knowledge of stochastic calculus.

Responsibilities

• Serve as a subject-matter expert in one or more key modeling areas related to interest rate models.
• Conduct theoretical and empirical research using public and proprietary data in investment and capital markets and hedge accounting.
• Contribute to the model development cycle, from prototype research and development to production implementation and testing.
• Perform user ad-hoc analysis.
• Conduct ongoing monitoring.

Benefits

• Health, life, voluntary lifestyle, and other benefits and perks supporting physical, mental, emotional, and financial well-being.
• Eligible to participate in a Fannie Mae incentive program, subject to its terms.

What This Job Offers

• Job Type: Full-time
• Career Level: Senior