ERM Market Risk Analyst II

Federal Home Loan Bank of Indianapolis • Indianapolis, IN

13h • Hybrid

About The Position

The ERM Market Risk Analyst II is responsible for providing financial and analytical information to bank management to support risk and business-related decision-making with a focus on market risk analysis. The role resides in the Enterprise Risk Management department, whose primary focus is identifying, measuring, monitoring, and reporting the level and trends of risk within the organization. The following statements are intended to describe the general nature and level of work being performed by a person in this job. They are not intended to be an exhaustive list of all responsibilities or abilities required. The Bank reserves the right to alter or amend this description at any time.

Requirements

• Master’s degree in Mathematics, Quantitative Analysis, Statistics, Financial Engineering, or any other quantitative field. Alternatively, a Finance/Economics Master's with a background or focus on Mathematics/ Statistics/ Quantitative/Engineering.
• One year of experience (could include time as a research assistant while doing graduate studies) doing quantitative risk or related analysis or research in any of the following areas: quantitative finance, applied mathematics, optimization / mathematical programming, fixed income analysis, or econometrics.
• Experience in at least one of the following languages or applications: Python, R, Scala, MATLAB, Java, C/C++/C#, SAS, Stata, SPSS, SQL, Power BI, Fabric, or VBA.
• A strong understanding of fixed-income principles, including mortgage-backed securities and derivatives.
• Advanced analytical skills necessary to develop complex financial, quantitative, and market risk reports and analyses.
• Strong ability to identify potential concerns, analyze and solve problems; ability to work effectively and independently to resolve such issues.
• High degree of interest in fixed income, derivatives, balance sheet analysis, and valuation analysis.
• Detail-oriented and flexible to support management and regulatory reporting.
• Ability to prioritize multiple competing objectives with a high degree of initiative and independence.
• Ability to work as required for meeting deadlines.
• Verbal, written, and interpersonal skills to communicate effectively with all levels of Bank personnel.
• Must not have been convicted of any civil or criminal charge that would suggest a risk to Bank security.
• Ability to work full-time with three days per week working from the office and two days remote.
• Ability to uphold and model the Bank’s Guiding Principles.

Nice To Haves

• Experience with Asset/Liability and valuation software/models such as Polypaths, QRM, ZMDesk, Principia, etc.
• Professional certifications, such as CFA (Chartered Financial Analyst), FRM (Financial Risk Manager), or PRM (Professional Risk Manager).

Responsibilities

• Supports the production of market risk analysis and reporting, including balance sheet risk analysis, valuation of financial instruments, stress testing, sensitivity analysis, and risk analysis related to fixed income and derivatives.
• Produces timely, accurate, and relevant reporting.
• Researches and applies quantitative techniques and other data science applications toward the analysis of solutions to important cases for risk management purposes.
• Be a key resource for explaining risk numbers, new risk analytics, data issues, market information, risk modeling, testing, and implementing new models and systems, etc.
• Performs or assists in ad-hoc analyses in a timely manner.
• Uses the PolyPaths platform along with quantitative tools and techniques to measure and analyze valuations of financial instruments and risk model results to reach conclusions on changes in risk positions.
• Assists in general improvement, automation, and maintenance of the mark risk reporting environment, databases, scripts, testing, and tasks.
• Assists in actively developing or redesigning processes to improve efficiency in processes and analytics.
• Responsible for maintaining ongoing reporting processes pertaining to market risk, including model change approvals, validation recommendations, and other remediation steps.
• Clearly communicates technical details related to market risk management and model assumptions to management, team members, and supporting staff across the organization.
• Participates in model development and as needed, in the tuning/assessment of market risk models.
• Performs user acceptance testing.
• Interacts with market risk validators about market risk processes, controls, and documentation, demonstrating adherence to applicable regulations and internal policies.
• Writes clear documentation on market risk processes and controls to meet standards set by the Model Risk Management Group, as well as regulatory (FHFA) modeling Advisory Bulletins.
• Stays current with technical enhancements, methodologies, statistical, mathematical, and analytical/computational techniques, and trends related to market risk management.
• Research, understand, and implement next-generation analytical capabilities in Enterprise Risk Management and market risk core functions to support market risk management understanding, regulatory testing, and lines of business needs.

Benefits

• Flexible hybrid workforce model: Onsite three days a week and two days remote. We also offer remote flex days!
• Fantastic, competitive pay and total rewards
• Industry-high 401(k) match: up to 6% PLUS…an additional 4% contribution!
• Tuition reimbursement assistance: To help you continue to develop personally and professionally.
• Student loan repayment assistance: That’s right, we will help you repay outstanding student loans!
• Awesome Benefits Package: Medical, dental, vision benefits and even pet (you read that right) insurance!
• Generous time off: Vacation, paid federal holidays, birthday month floating holiday, volunteer day and summer hours program
• “Dress for your day” dress code: You choose the appropriate work attire based on what your day looks like.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level