Senior Market Risk Analyst
About The Position
At FHLB Des Moines, the Senior Market Risk Analyst measures market risk on the Bank’s balance sheet using complex financial models, performs stress tests of market risk exposures, and assists with implementation and maintenance of the Asset/Liability Management (ALM) system. The role monitors daily balance-sheet risk reporting and liquidity activities, produces and analyzes monthly risk reports and valuation results, and supports risk committees and system maintenance. It also contributes to reporting improvements, model updates, project testing, and departmental compliance.
Requirements
- At least 2 years of experience in quantitative analysis in finance, economics, mathematics, statistics, or another quantitative or computing field.
- Strong analytical and computer skills in Access, Excel, and Word.
- Strong oral and written communication skills.
Nice To Haves
- Advanced degree in finance, financial engineering, economics, mathematics, statistics, an MBA, or another quantitative or computing field, or equivalent work experience.
- Programming experience, such as SQL or VBA.
- CFA designation.
- FRM designation.
Responsibilities
- Monitor and maintain the daily total balance sheet risk reporting process.
- Create monthly risk reports, including Market Value of Equity (MVE), Market Value of Capital Stock (MVCS), Economic Value of Capital Stock (EVCS), and Value at Risk (VaR).
- Analyze attribution factors for monthly changes in MVE and VaR.
- Analyze risk reports for the Market Risk Committee, Enterprise Risk Committee, Asset Liability Committee, and Valuation Subcommittee.
- Analyze monthly advance valuation results.
- Analyze monthly income simulation results.
- Monitor daily liquidity activities.
- Review weekly market loading and MPF pricing update reports.
- Identify opportunities to improve risk reporting processes and develop optimized solutions.
- Implement model changes and recommendations or findings from FHFA examinations, model validation, and other audit processes.
- Assist with testing risk-report source data in bank-wide projects.
- Assist with departmental compliance with internal controls and regulations.
- Play a key role in maintaining and upgrading risk management systems, including Polypaths.
- Perform other duties as assigned.
Benefits
- Participation in the Bank’s annual incentive plan.
- 11 paid holidays.
- 5 weeks of PTO.
- Work culture that values work/life balance.
- Hybrid work schedule eligibility for most roles.
- 100% match on the first 6% contributed to the 401(k).
- Additional 4% non-discretionary 401(k) contribution at year-end.
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What This Job Offers
Job Type
Full-time
Career Level
Senior
Education Level
No Education Listed
