Portfolio Risk Manager - Capital Markets

Job Description


Fannie Mae provides reliable, large-scale access to affordable mortgage credit in communities across our nation. We are the leading source of funding for housing in America, which means more people can buy or rent a home. We are focused on sustaining the housing recovery, improving our company, and leading change to make housing better.

Join our diverse, high-performing team and make a difference as we work together to enable access to a good home.

For more information about Fannie Mae, visit http://www.fanniemae.com/progress


Capital Markets Risk Management is responsible for measuring and monitoring the risk in the Capital Markets balance sheet of mortgage securities and loans.


  • Coordinate with technology systems personnel to continually develop the infrastructure used to support business and modeling needs. This infrastructure executes the portfolio data collection and aggregation process, the sourcing of relevant market information, and the selection of appropriate pricing methodologies plus behavioral models that are used to estimate and report the market risk measures of instruments in the retained portfolio.

  • Conduct vetting of new/updated models that are used to measure the market risk of instruments in the retained portfolio.

  • Monitor and report portfolio data quality and modeling issues. Investigate the cause of those issues, propose resolution plans and coordinate their execution.

  • Measure and monitor the market, liquidity and credit risk in the balance sheet of mortgage securities and loans. Support portfolio's risk position with attribution to provide feedback to senior management on business strategies. Produce risk management reports and monitor the relevant markets and portfolio activity. 

  • Work with Enterprise Models team and traders to develop insight on the portfolio's risk position. 

  • Review risk reports and capital adequacy reports to maintain a comprehensive understanding of risk positions, market conditions and business strategies. Identify potential gaps and recommend enhancements.

  • Maintain an understanding of investment and funding guidelines, market risk policies, liquidity risk policies, credit risk policies, and capital policies. 

  • Work with the trading and funding desks in real-time, at both the portfolio and security level, in order to provide effective challenge of ongoing business risk management decisions. Support management through understanding P&L attribution and risk/return analysis.


  • Bachelor's Degree or equivalent required


  • 6+ years of related experience


  • Strong quantitative background.  At least 4 years of experience in model development and data analysis in the mortgage, housing, or financial services industry
  • Understands market risk characteristics of fixed income products including mortgage, debt, and interest rate derivatives 
  • Strong intellectual curiosity with attention to details to ensure the quality of data and the soundness of models used in financial instrument valuation
  • Ability to work with large amounts of data and familiarity with database tools
  • Proficient with technology solutions supporting analytics and reporting
  • Advanced reporting software skills such as Tableau preferred
  • Advanced in statistical software, such as SAS preferred
  • Excellent verbal, presentation and written communication skills with an ability to explain technical concepts and results to a diverse audience 



As a condition of employment with Fannie Mae, any successful job applicant will be required to pass to successfully complete a background investigation.


Fannie Mae is an Equal Opportunity Employer.

Req ID: 57283