Job Type: Quantitative Engineer (Associate to Management Levels)
Are you passionate about quantitative engineering, mortgage finance, business and risk analytics? Fannie Mae is expanding its talent pool for multiple Quantitative Engineering roles to work on the model application development in following areas: Single-Family and Multi-Family Mortgages Loan and Pool Performance Modeling Borrower Behavioral and Loss Severity Mitigation Modeling
Market, Liquidity, Term Structure Interest Rate and Mortgage Rate Modeling Interest Rate Derivative Pricing Macroeconomic and Time Series Modeling Regional and National Home Price Forecasting Capital Markets & Structured Finance Back-end Credit Enhancement Enterprise Risk Management Stress Testing (Management Stress Test and Dodd Frank Stress Test)
Financial Reporting (Fair Value, CECL Allowance, Revenue, Capital) Model Performance Monitoring and Remediation Model data and analytics visualization for decision making
Who We’re Looking For:Fannie Mae is seeking talented quantitative professionals at various levels, from associate quantitative engineers to managers, to help drive data-driven and model-guided decision-making at Fannie Mae. If you are an experienced software developer and tester (preferably of modeling applications), quantitative engineer, financial and mortgage risk analyst, or data scientist, we encourage you to apply.
Key Responsibilities:
Depending on the specific team and role, responsibilities may include:Analyze business requirements, design solution, develop and test model application, release to production and provide operation and customer support.Implement and refine quantitative models to forecast macro-economic environment and mortgage loan performance, assess company financials and capital requirement, and manage enterprise risks including interest rate risk, prepayment risk, credit risk, market risk, model risk, operation risk.Apply sophisticated statistical and machine learning techniques to improve model coverage and performance.Design and conduct model user vetting including scenario analysis, sensitivity analysis, stress testing, attribution analysis, back testing, etc.Design and perform software development testing including unit-test, regression test, reconciliation, system integration test, shakeout, user acceptance test, etc.Collaborate with cross-functional teams from various business users, product and project managers, model owners and developers, model validators, internal audit, and external consultants.Ensure compliance of FHFA directives, Basel, Industry and Fannie Mae’s model risk policy and management standards.Ensure compliance of System Development Life Cycle (SDLC) standards and enterprise data policy and governance.Present findings and recommendations to 2nd-/3rd-Lines of Defense, senior leadership and regulators.Monitor and adapt to technology advancement and industry best practices in model and software development.(Management Level) Manage a team of quantitative engineers and oversee the E2E Model and Software Management Life Cycle to deliver production-quality software to meet business needs. 
