Senior Director, Market Risk & Earnings Analysis

Federal Home Loan Bank of Indianapolis-posted 13 days ago
$198,000 - $234,000/Yr
Full-time • Director
Hybrid • Indianapolis, IN
251-500 employees
Resume
Match Score
Upload and Match ResumeTrack Jobs with Teal

The Senior Director, Market Risk & Earnings Analysis is responsible for directing both the market risk and income simulation/financial forecasting functions within the Enterprise Risk Management Department, which identifies, measures, monitors, and reports the level and trends of risk within the organization. The Director provides key thought leadership and analytical rigor to deliver timely, accurate, relevant information and analysis to decision makers. The Director is also responsible for ensuring implementation of best-practices and compliance with all regulatory and policy requirements. The following statements are intended to describe the general nature and level of work being performed by persons assigned to the job. They are not intended to be an exhaustive list of all responsibilities or abilities required of persons so classified. The Bank reserves the right to alter or amend this description at any time.

  • Head the Market Risk and Financial Forecasting functions within the ERM department by providing leadership, feedback, mentoring, and oversight of staff.
  • Provide key thought leader on market risk data analytics and is responsible for supervising and making continuous improvement to regular market risk and income simulation reporting and governance.
  • Assist the Chief Risk Officer in the monitoring of market risk and income simulation.
  • Supervise a wide range of market risk processes related to interest rates, mortgage prepayments, instrument valuation, option cost, etc. as well as other enterprise needed developments.
  • Communicate regularly with and conduct presentations to the Board of Directors, Senior Management, Internal Audit, and the Federal Housing Finance Agency, as requested and is adept at explaining highly technical concepts in an intuitive manner.
  • Supervise annual and regular financial forecasting and income simulation processes and works closely with Senior Management and various business units.
  • Play a key role in the implementation of the enterprise wide-stress testing and provides analytical support for the Bank’s Economic Risk Estimate.
  • Ensure the production and quality of market risk reports and income simulation.
  • Supervise ownership of PolyPaths and ALM/forecasting models
  • Stay 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 to ERM and market risk core functions to support market risk management understanding, regulatory testing, lines of business needs and model validation requirements such as model performance tracking methodologies and resolution of model validation findings.
  • Implement, test, operate, and enhance a diverse range of market risk processes for subjects such as interest rates, mortgage prepayments, instrument valuation, option cost, etc. as well as other enterprise needed developments.
  • Oversee the performance of financial model and quantitative analytics related to market risk and financial forecasting, including establishing proper performance monitoring, calibration, controls, timely remediation of model validation results.
  • Develop and maintain effective partnerships with the Model Risk Management team, model users, business level management teams, Internal Audit, and the Federal Housing Finance Agency.
  • Responsible for model performance results and takes ownership to mitigate model risk.
  • Direct compliance with regulatory requirements, including Risk-Based Capital (reg requirement).
  • Follow up on all regulatory and governance recommendations to ensure timely remediation.
  • Understand and interpret current regulatory guidance (specifically FHFA’s Model Risk Management Advisory Bulletin 2013-07) and assists in complying with guidance to adhere to Bank-specific policies and procedures.
  • Oversee quality assurance, SOX and related governance, and outlier analysis.
  • An advanced degree, such as a PhD or Master’s, with a concentration in Quantitative Finance, Economics, Mathematics, Statistics, or some other quantitative discipline.
  • 10+ years' experience in risk management and/or asset-liability management, with some experience leading high performing and highly technical staff.
  • Five plus years of experience in interest-rate risk modeling and income simulation is preferred.
  • 5+ years of experience with Asset/Liability and valuations software/models such as Polypaths, QRM, ZMDesk, Principia, etc.
  • Understanding of fixed income principles, including mortgage-backed securities and derivatives, preferred.
  • 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.
  • Detail oriented, organized and flexible to support management and regulatory reporting.
  • Ability to work as required for meeting deadlines.
  • Verbal, written, and interpersonal skills to communicate effectively with all levels of Bank personnel.
  • Strong relationship management skills and the ability to effectively engage with multiple levels of the Bank to include Board of Directors, Senior Management, Risk Related Committees, Working Groups, and Staff.
  • Expert understanding of interest-rate risk and mortgage prepayment modeling and related mathematics, financial instruments, markets, asset-liability management, profitability analysis, and income simulation.
  • Strong theoretical understanding of market risk modeling and financial forecasting.
  • Strong Python modeling experience preferred.
  • Other analysis/modeling skills, such as R, MATLAB, FINCAD, Bloomberg, or Reuters EIKON desirable.
  • Strong verbal and written communication skills including presentation skills.
  • Detail-oriented.
  • Ability to assume complex assignments with minimal direction.
  • Must not have been convicted of any civil or criminal charge that would suggest a risk to Bank security.
  • Ability to work full-time.
  • Ability to uphold and model the Bank’s Guiding Principles.
  • Professional certifications, such as CFA (Chartered Financial Analyst), FRM (Financial Risk Manager) or PRM (Professional Risk Manager) a plus.
  • 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.
Track Jobs with Teal

Job Search Resources

•
Resume Builder
•
Resume Examples
•
Cover Letter Examples

Tools

Career Hubs

Guides

Company

© 2024 Teal Labs, Inc
Privacy PolicyTerms of Service