Model Risk Analyst

Federal Home Loan Bank of Chicago•Chicago, IL

8h•Hybrid

About The Position

The Model Risk Analyst (Analyst) within the Model Risk Management Group (MRM) is responsible for various tasks supporting model validation and risk governance. The tasks are both technical (e.g., related to data analytics and quantitative modeling) and administrative (e.g., documentation requirements). By completing these tasks, the analyst will enhance both his/her technical skills and understanding of how financial models are used within the bank.

Requirements

Graduate Degree (MS/MA/MBA) in a quantitative discipline (e.g., Mathematics, Statistics, Financial Mathematics, Econometrics)
0-3 years of modeling or model validation working experience
Passionate about risk management and interested in model validation
Detail-oriented, a critical thinker and possess excellent communication skills
Proficient in Microsoft Office suite (Excel, Word, Access, PowerPoints)
Knowledge in Statistics (logistic regression) and basic data analysis plus knowledge of SQL/R/Python
Basic understanding in fixed income securities or mortgage products (CFA/FRM certifications a plus)

Nice To Haves

Knowledge of stochastic processes or interest-rate model techniques preferred
Experience using machine learning techniques utilizing regression and classification algorithms preferred
Familiar with Tableau and level of detail (LOD) preferred

Responsibilities

Explain and present testing results to MRM, model owners and other stakeholders
Work effectively with other risk analysts within MRM and perform ad-hoc analysis to support model-related initiatives
Review model data sources, assumptions, and underlying theory for conceptual soundness
Perform sensitivity analysis and attribution analysis to determine the key financial risk factor(s)/input(s) impacting the Model
Challenge current methods by considering additional modeling enhancements or different metrics to assess model effectiveness
Perform independent benchmarking, back testing and other analysis for applicable models
Recommend new ways to automate/improve the modeling process
Effectively challenge the model owners by identifying potential model weakness and provide constructive recommendations