Analyst II - Capital Markets Risk

Location: Washington, DC, United States
Position Overview: 
This position reports directly to a Director in the Capital Markets Risk Management group. Capital Markets Risk Management is responsible for measuring and monitoring the risk in the Capital Markets balance sheet which includes about $250 billion of mortgage securities and loans.


Responsibilities: 
  • Measure and monitor the market, liquidity and credit risk in the $250 billion 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 Analytics team and traders to develop tactical and strategic guidance on portfolio's risk position that are consistent with limits and capital constraints. Provide recommendations to senior management.
  • Support Capital Markets team with guidance on portfolio composition with specific allocation recommendations across asset classes and products. Assist in developing debt funding strategy. Identify assets that are rich or cheap by assessing model results against recent or expected market developments.
  • Review risk reports and capital adequacy reports to maintain a comprehensive understanding of risk positions, market conditions and business strategies. Maintain an understanding of investment and funding guidelines, market risk policies, liquidity risk policies, credit risk policies, and capital policies.
  • Coordinate with systems personnel to continually develop the infrastructure to support business and modeling needs. This includes the portfolio collection and aggregation process, access to appropriate market information and utilization of different pricing methodologies to estimate fair value, and database which satisfies reporting and analysis needs.
  • Work with the trading and funding desks in real-time, at both the portfolio and security level, to develop specific hedge recommendations for portfolio management to improve return/risk profile Support management through understanding P&L attribution and risk/return analysis and forecasting. Perform structured finance credit risk analysis to include assessment of underlying loans and deal structure.

Qualifications:
EDUCATION  
  • Bachelor's Degree or equivalent required    
MINIMUM EXPERIENCE  
  • 4+  years of related experience
SPECIALIZED KNOWLEDGE & SKILLS   
  • Experience in Risk Management or Portfolio Management or related fields.
  • Understanding of the industry and regulatory practices for capital planning and stress testing analysis.
  • Understands market risk characteristics of fixed income products including mortgage, debt, and interest rate derivatives
  • Understands standard market risk metrics including duration, convexity, vega, option-adjusted spreads, theta.
  • Understands financial theory and markets.
  • Understands the different types of securities that Fannie Mae trades and how trading is conducted.
  • Clearly communicates and presents analyses and results and persuades others by supporting ideas with logical arguments/data.
  • Proficient with technology solutions supporting analytics and reporting.

 
Tami Andrade Fitzpatrick
Senior Recruiter
720-845-6562
tami@proenlist.com
www.proenlist.com


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