Fannie Mae exists to expand affordable housing and bring global capital to local communities in order to serve the U.S. housing market. Fannie Mae has a federal charter and operates in America's secondary mortgage market to enhance the liquidity of the mortgage market by providing funds to mortgage bankers and other lenders so that they may lend to home buyers. In 2008, we mark our 70th year of service to America's housing market. Our job is to help those who house America.
For more information about Fannie Mae and our career opportunities, please visit www.fanniemae.com.
Risk Capital Oversight is responsible for accurate, consistent measurement of economic and risk-based capital, both across businesses and at the corporate level. The Senior Financial Engineer has primary responsibility for the development and maintenance of the market risk economic capital calculation methodology, estimation, analysis and reporting of market risk economic capital requirements, as well as design and implementation of both short and longer-term forecasting processes. Time permitting, the SFE may work or advise on other areas including credit and operational risk economic capital.
Develop and maintain market risk economic capital measurement and modeling functionality. Work with Capital Markets, Business Analysis & Decisions and other units in development of market risk models, including estimation of correlations across key risk drivers, which meet or exceeds relevant industry standards.
Develop and maintain Risk Capital Oversight's own market risk economic capital production platform so as to allow for independent calculation and analysis of alternative stress scenarios in estimation of economic capital requirements.
Maintain, update and parameterize key risk driver indices.
Generate timely market risk economic capital requirements across all such corporate exposures.
Produce written reports analyzing quarterly changes in market risk economic capital requirements.
Prepare and maintain comprehensive documentation of theory and analytics underlying all market risk economic capital calculations.
Prepare and maintain procedures documentation covering all market risk economic capital calculations.
Contribute to operational and credit risk economic capital model development, particularly with respect to appropriate application of relevant statistical methods.
Represent the unit in economic capital measurement discussions with both internal and external audiences to communicate current modeling choices and explore further refinements.
Skills
Advanced finance, economics, math, statistics or related degree.
3-5 years of fixed income or capital markets experience applying quantitative risk analysis and methods.
Direct exposure to asset/liability management and/or related economic capital measurement is highly desirable.
Working knowledge of advanced statistical concepts, tools and their application.
Familiarity with bank capital standards.
Strong written and oral communication skills.
COMPENSATION
Fannie Mae's compensation and benefits package is very competitive. It is designed to help employees meet varying needs throughout their careers and to reward employee's skills, experience, and potential.
Fannie Mae is an equal employment opportunity employer and considers qualified applicants for employment without regard to race, gender, age, color, religion, national origin, marital status, disability, sexual orientation, or any other protected factor.
As a condition of employment with Fannie Mae, any successful job applicant will be required to pass a pre-employment drug screen and to successfully complete a background investigation, which may also include a credit check for positions in some areas of our business.
A
trade automation, connectivity and compliance solution, the SunGard
Transaction Network (STN) links institutions throughout the financial
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trillion, Advent has established itself as a leading provider of
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QUMAS
is a global compliance software company offering a complete Enterprise
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Belzberg
Technologies has been at the forefront of the electronic trading
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