Director Market Risk & Earnings Analysis

FHLBank Chicago•Chicago, IL

20h•$217,550 - $382,325•Hybrid

About The Position

Responsible for Management of market, including liquidity and income at risk modeling and analysis team as part of Bank’s second line of defense. The Director, Market Risk and Earnings Analysis will be responsible for designing and implementing a market and income at risk manaegment framework, which comprises the Bank's approaches to market including liquidity and income at risk governance, identification, assessment, management, and mitigation. The market and income at risk management frameworks ensure that member products and asset/liability management risk-taking is well-understood, well-governed and appropriately managed. Your leadership skills will be crucial in fostering a culture of transparency, compliance, and accountability, making a significant impact on our continued success and reputation in the industry. The ideal candidate for this role must have a proven track record in of re-engineering operational processes, and possess strong leadership abilities This role has direct reports.

Requirements

15+ years of experience in risk management, risk modeling or fixed income capital markets.
5-10 years mortgage finance or Banking operations experience
8+ years management experience
Advance degree in finance, mathematics, or science
FRM/CFA or other designation.
Must have effective communication (verbal, written) skills.
Knowledge of fixed income products
Strong quantitative/analytical skills
Analytical, initiative-taker
Strategic thinking
Strong problem solving and decision making abilities.
Technology and project management skills

Responsibilities

Provide strong second-line oversight of market, liquidity and income-at-risk exposures by delivering sophisticated analysis and effective challenge on balance sheet, liquidity, and earnings risks to strengthen the Bank’s risk governance and financial resilience.
Enable strategic decision-making at the executive and Board level by delivering robust modeling, forecasting, and stress testing insights that inform capital planning, product strategy, and CFO-led strategic planning processes.
Drive operational excellence and innovation in risk analytics by leading model development and analytics teams, modernizing processes and automation, and providing independent, data-driven challenge to emerging risks, new products, and evolving market conditions.
Responsible for Market including Liquidity and Income at Risk oversight and risk limit establishment, monitoring, assessment and reporting.
Oversee team of model developers responsible for operation, maintenance, model calibration and tuning, performance monitoring and controls around the Bank’s mission critical models used for valuation, forecasting and risk modeling and the Bank’s market data.
Owner of critical vendor relationships: market risk data, valuation/pricing, and risk modeling
Responsible for sign off for new product implementations from a valuation, forecasting and risk modeling perspective and oversee development and user acceptance testing.
Oversee analytics team responsible for monitoring and evaluating portfolio concentration, adverse market trends, value at risk analysis and preparing independent risk and attribution analyses.
Collaborate with Executive Team, business units and other departments in Risk Management, in developing and supporting key assumptions and scenarios and preparing forecasts to support the CFO who leads the annual Strategic Planning process.
Support the CFO’s Strategic Planning department in income at risk scenario/stress analysis, forecasts, capital planning, and evaluating incentive compensation plan balance sheet and income criteria and metrics.
Collaborate with business units and other departments in Risk Management to design, performs and reports stress testing and scenario analysis results to Senior Management and the Board
Assess impacts on the Bank’s risk process for new products, investments and hedging strategy implementation involving interdepartmental teams.
Use market and income at risk tools and market data to analyze range of outcomes, provide insights and alternate viewpoints as new strategies are being formed by Management.
Develop and monitor key risk indicators to provide early warning of potential issues in changing environment and effectively challenge.
Primary contact for Bank regulators for issues associated with Market and Income at Risk Management
Active committee member of internal committees: Asset/Liability Management
Reports to Board and Senior Management any changes to Bank’s balance sheet market, liquidity, and income risk profile that can adversely impact business decision making, significant balance sheet concentrations, and any material modeling/assumption changes.
Regularly reviews regulatory reporting requirements pertaining to Market, Liquidity, and Income at Risk
Develop and deliver market risk training for the Board
Provide strong leadership and mentorship to the team, promoting a collaborative and purposeful work environment.
Foster a culture of continuous learning and encourage team members to stay updated on industry trends and changes in regulatory and business requirements.
Lead process workflow automation and application modernization
Other duties as assigned.