Machine Learning Modeler

Job Description

THE COMPANY

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 www.fanniemae.com/progress.

JOB INFORMATION

Single Family Analytics is looking for an experienced associate to work as a Data Scientist and Quantitative Modeler in an Advanced Analytics and Machine Learning (ML) team. This position requires experience working with Neural Networks and their applications to finance or related areas. The associate will collaborate with a team of data engineers, modelers, data scientists and business users to develop, assess, and execute statistical, mathematical and Machine Learning frameworks to solve complex economic and financial problems encountered in business decision making, risk assessment, financial valuation, and performance measurement in all areas of mortgage finance. Apply advanced ML methods and models to such processes as valuation of assets, projection of pricing or risk under varying economic scenarios. Use these tools to develop and quantify risk management strategies for mortgage-based assets or their derivatives. Develop, or provide guidance to the development of computer applications that perform or produce various pricing, capital requirements, risk management or hedging analyses.

KEY JOB FUNCTIONS
  • Examine data from segment of housing market in order to perform economic analysis of purchase rates, effects of interest rates, prepayment risk, default risk, or other trends that could affect the products or services of assigned business unit(s).
  • Examine particular products of assigned business unit and analyze using standard and some sophisticated econometric or quantitative models to assess risk, predict future trends, and determine the efficacy of current analytical standards or models.
  • Facilitate model updates by writing technical requirements for new or revised pricing methodologies, assessing impact of changes, and reviewing results. Validate user-defined configuration files used to model unique credit enhancement structures.
  • Perform economic capital analysis, and other financial analysis when necessary, for review by business unit management, corporate risk management, or senior management in order to support strategic, regulatory, or risk management decisions.
  • Contribute to the team responsible for development of ML to credit pricing, economic capital, and loss forecasting models.
  • Analyze empirical price, rental, fee and other financial data that are the basis for proprietary applications used by partners or counterparties in assessing risk, rating credit, or other functions.
EDUCATION  
  • Bachelor’s degree or equivalent required  
MINIMUM EXPERIENCE 
  • 6+ years of related experience   
SPECIALIZED KNOWLEDGE & SKILLS 
  • Ph.D. in Mathematics, Physics, Statistics, Engineering, Computer Science, Economics, Finance or a related discipline and 8+ years of related work experience preferred.
  • Must have working experience using Machine Learning (ML), Artificial Intelligence (AI) and Advanced Data Analytics best practices with focus on Neural Networks and Ensemble Learning.
  • Experience providing technical guidance to other staff, serving as a technical lead on projects, supporting development of analytical applications.
  • Technical:
    • Strong programming ability in at least two of R, Python, C/C++, Spark, SQL
    • Experience with Machine Learning, High Performance Computing, Mortgage Risk Modeling and working with Large Data sets
    • Experience with large scale data analytics
    • Strong command of UNIX shell scripting and Oracle/Netezza Databases
    • Ability to communicate technical design solutions and analytics results to audiences at various levels of the organization
    • Must be able to support integration of Predictive and Prescriptive Analytics in applications to develop insights and illuminate future courses of action
    • Must have experience investigating, proposing, and implementing new algorithms and technologies to enhance analytics capabilities
    • Must stay informed of market insights related to mortgage business and Credit Risk Transfer
    • Understanding of probability, statistical inference, and numerical analysis
    • Experience with credit risk models, structured finance, valuation and pricing and credit risk transfer vehicles
    • Excitement to develop enterprise scale analytical solutions that work with huge data sets and solve business challenges
  • Non-Technical:
    • Desire to work in a dynamic environment with emphasis on continuous learning and focus on innovative ideas and teamwork
    • Creative and self-motivated; excellent analytic and problem-solving skills
    • Ability to develop proficiency in new skills rapidly
    • Strong technical writing and communication skills
    • Excellent interpersonal skills and team player mentality
    • Ability to thrive in a fast-changing environment
EMPLOYMENT              
As a condition of employment with Fannie Mae, any successful job applicant will be required to successfully complete a background investigation.
 
Fannie Mae is an Equal Opportunity Employer.

Req ID: 57891