Sr. Risk Analyst

Federal Home Loan Bank of Chicago • Chicago, IL

305d • Remote

About The Position

At the Federal Home Loan Bank of Chicago, employees come first - that's why we offer a highly competitive compensation and bonus package, and access to a comprehensive benefits program designed to meet the needs of our employees. Our mission at FHLBank Chicago is to partner with our members in Illinois and Wisconsin to provide them competitively priced funding, a reasonable return on their investment, and support for their community investment activities. Simply said, we're a bank for banks and other financial institutions, focused on being a strategic partner for our members and working together to reinvest in our communities, from urban centers to rural areas. Created by Congress in 1932, FHLBank Chicago is one of 11 Federal Home Loan Banks, government sponsored in support of mortgage lending and community investment.

Requirements

• Master's degree in a quantitative discipline such as mathematics, statistics, finance or related field
• 2 years of related experience
• Any amount of experience validating PolyPaths and Summit models including verifying model choices, market data processing, risk calculations and derivatives valuation, and back testing and benchmarking performance
• Any amount of experience building challenger model with statistical/mathematical techniques including Generalized Linear Model (GLM), decision tree and non-linear correlation coefficient to benchmark and assess production credit model
• Any amount of experience utilizing languages VBA, SQL and at least one of the following (R, Python, C, C#, C++) to extract, process and analyze data and perform model validation
• Any amount of experience analyzing and validating mortgage-backed securities modeling including structures, valuation, risks, prepayment behavior, loss allocation and mortgage rates modeling
• Any amount of experience managing multiple projects simultaneously including ad-hoc assessments
• Must live within normal commuting distance of worksite.

Responsibilities

• Review and evaluate models used across different groups, including pricing models, credit risk models, market risk models, analyze model inputs, assumptions, methodologies, and results to assess model soundness and to identify potential weaknesses, biases, and limitations, recommending enhancements and modifications as necessary
• Build alternative models or monitoring analyses to benchmark back-test practices and drive continual improvements
• Conduct research and analysis to identify areas of improvement in model validation techniques and methodologies
• Stay current with regulatory guidelines, industry best practices, and emerging trends in model validation as well as Bank business, incorporating them into the validation process and framework
• Assist in preparation of comprehensive reports and presentations summarizing model validation findings, key risks, and recommendations for senior management and Model Risk Sub Committee.

Benefits

• Retirement program (401k and Pension)
• Medical, dental and vision insurance
• Lifestyle Spending Account
• Competitive PTO plan
• 11 paid holidays per year
• Hybrid working model

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Industry: Credit Intermediation and Related Activities
• Education Level: Master's degree