Market Risk Analyst

FHLBank Chicago•Chicago, IL

2d•$75,325 - $125,500•Hybrid

About The Position

The Federal Home Loan Bank of Chicago (FHLBank Chicago) is seeking a Market Risk Analyst. This role is responsible for modeling related to market risk, including structured interest rate models, prepayment models, and fair value models for residential and commercial Mortgage-Backed Securities. The analyst will collaborate with cross-functional teams to perform model evaluation, version upgrades, and assess market risk related to Derivatives, Bonds, Mortgages, and Investments, adhering to bank and regulatory model risk guidance. Additionally, the role involves providing accurate and timely measurement, analysis, monitoring, and reporting of market risk for the Bank. The ideal candidate will possess superior analytical thinking and problem-solving skills, with a strong desire to learn and develop new concepts.

Requirements

0-3 years’ work experience.
Graduate degree in financial mathematics, financial engineering, mathematics, economics, or other quantitative or computing fields and/or equivalent work experience.
Basic understanding in fixed income securities or mortgage products.
Proficient in MS Excel and Word.
SQL/Access Database experience.
Solid understanding in fixed income, mortgages, mortgage-backed securities, derivatives, and option pricing models.
Basic understanding in term structure models.
Detail-oriented and possess analytical skills necessary to research, troubleshoot, prepare, and present a variety of reports and analyses in a fast-paced, continually evolving atmosphere.
Excellent verbal and written communication skills.
Able to work effectively under pressure, either independently or as a member of a team.
Must be willing to work with flexibility and dependability - work schedule may include shifts outside the normal business hours.

Nice To Haves

CFA/FRM certifications a plus.
Familiar with at least one programming language, python, R, or VBA is preferred.
Exposure to vendor or in-house software used for security valuation and risk is preferred.
Must quickly develop a comprehensive understanding of the bank’s modeling tools used for valuation and risk measurement.
Passionate about risk management and interested in market risk analysis.

Responsibilities

Modeling related to market risk, including structured interest rate models, prepayment models, and fair value models for residential and commercial Mortgage-Backed Securities.
Collaborating with cross-functional teams to perform model evaluation, version upgrade, and assess market risk related to Derivatives, Bonds, Mortgages and Investments following bank and regulatory model risk guidance.
Providing the accurate & timely measurement, analysis, monitoring, and reporting of market risk for the Bank.
Monitoring the Bank’s risk exposures and supporting the bank’s asset liability management.
Developing hands-on experience with prepayment models and key modeling assumptions.
Gaining exposure to different types of financial securities and providing fair value for the bank’s balance sheet.
Working in a team-based environment and building strong, trustworthy partnerships with internal stakeholders.
Assisting in modeling related to market risk including term structure interest rate models, prepayment models for residential and commercial Mortgage-Backed Securities, and fair value models.
Documenting, reviewing, assessing, and updating model assumptions and valuation methodologies.
Reviewing, maintaining, and upgrading the risk management systems and performing quantitative analysis to assess changes and enhancements to the pricing models within vendor applications.
Researching new ways to automate/improve operation and reporting processes.
Troubleshooting and timely resolving issues impacting regulatory reporting.
Reporting and providing in-depth analysis of the risk exposure and attribution analysis of Market Value of Equity change of the bank’s balance sheet.
Working with other departments across the bank to develop, test, and roll out new products.
Handling inquiries from external regulators and auditors.
Working on ad hoc projects supporting the bank’s strategic initiatives.