Assessment of Model Performance in Use - Advisor (Remote)

Company Description

At Fannie Mae, futures are made. The inspiring work we do helps make a home a possibility for millions of homeowners and renters. Every day offers compelling opportunities to impact the future of the housing industry while being part of an inclusive team thriving in an energizing, flexible environment. Here, you will grow your career and help create access to fair, affordable housing finance.

Job Description

As a Quantitative Modeling Advisor, you will apply extensive knowledge of advanced modeling techniques, joining a modeling community which creates solutions that use public and proprietary data in all areas of the mortgage finance business including mortgage products and securities, borrower behavior, investment and hedging strategies, residential property valuation, macroeconomic models including of housing prices and interest rates, valuation of financial assets and derivatives, economic capital, and stress testing.

As an Advisor in the Enterprise Model Risk Management group, you will be a senior member of a team which conducts model assessment reviews for internally developed models, reviews model performance tracking metrics and thresholds, reviews model adjustments, and reviews model assumptions. You will apply the Model Performance Tracking Standard and Assumption Management Standard, coordinating with other ERM groups to apply the model governance framework throughout the model lifecycle.
 

THE IMPACT YOU WILL MAKE

The Assessment of Model Performance in Use - Advisor 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:

• Lead annual assessment reviews for active models, usages, assumptions, model adjustments, and model performance tracking metrics and thresholds. Lead assessment review meetings and produce assessment review reports to provide evidence and analysis to support the appropriateness of continued model usages of a model or model components.
• Produce model performance tracking metrics and threshold review reports to assess the adequacy of model performance tracking processes and the appropriateness of models for their intended usages.
• Produce model adjustment and model assumption review reports assessing the methodology, supporting evidence/testing, implementation, and business impact of model adjustments and model assumptions.
• Provide effective challenge of model assumptions and adjustments used in enterprise forecasting processes including DFAST, the Corporate Base Forecast, and the quarterly Home Price Forecast.
• Prepare materials for management level committees (MLC) which summarize MRM’s effective challenge of quarterly model performance tracking results for significant model usages, material model assumptions, and model adjustments.
• Coordinate model oversight activities with other governance groups including Single Family credit, Model Governance Solutions, Capital Markets Risk Management, and others.
• Be influential and impactful, shaping model performance tracking approaches and communicating model limitations in a way which shapes model usage and future model development priorities. 

Qualifications

THE EXPERIENCE YOU BRING TO THE TEAM

Minimum Required Experiences

• 6 years of experience
• Bachelor's degree or equivalent

Desired Experiences

• An advanced degree (PhD. or Masters) in a quantitative field such as Computer Science, Statistics, Biostatistics, Economics (with an Econometrics emphasis), Applied Finance, or Applied Mathematics.
• Experience in developing models or validating models used in credit risk or market risk.
• Experience with a large financial institution which has Enterprise Risk Management functions that meet the needs of highly regulated financial institutions.

Skills

• Fast-learning, building on a strong foundation of knowledge to continuously learn new techniques for building and managing model risks well.
• Communicating technical subject matter clearly and concisely, both verbally and through well-written communications including Initial Assessment Reviews and Validation Reports.

Tools

• Advanced skills in using computer languages often used in model development.

Additional Information

The future is what you make it to be. Discover compelling opportunities at careers.fanniemae.com.

Fannie Mae is an Equal Opportunity Employer, which means we are committed to fostering a diverse and inclusive workplace. All qualified applicants will receive consideration for employment without regard to rac