Market Risk Analyst
Federal Home Loan Bank of Chicago is committed to being a strategic partner for its members in Illinois and Wisconsin, focusing on community investment. The Market Risk Analyst will be responsible for modeling related to market risk, collaborating with teams to evaluate models and assess market risk related to various financial instruments.
Responsibilities
- Monitor Bank’s risk exposures and support bank’s asset liability management
- Develop hands-on experience with prepayment models and key modeling assumptions
- Gain exposure to different types of financial securities and provide fair value for the bank’s balance sheet
- Work in a team-based environment and build strong, trustworthy partnerships with internal stakeholders
- Assist 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
- Document, review, assess, and update model assumptions and valuation methodologies
- Review, maintain and upgrade the risk management systems and perform quantitative analysis to assess changes and enhancements to the pricing models within vendor applications
- Research new ways to automate/improve operation and reporting process
- Troubleshoot and timely resolve issues impacting regulatory reporting
- Collaborate with cross-functional teams to perform model evaluation, version upgrades, and assess market risk, following bank and regulatory model risk guidance
- Report and provide in-depth analysis of the risk exposure and attribution analysis of Market Value of Equity change of the bank’s balance sheet
- Work with other departments across the bank to develop, test, and roll out new products
- Handle inquiries from external regulators and auditors
- Work on ad hoc projects supporting bank’s strategic initiatives
Skills
- 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
- 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
- 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
- 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
Benefits
- A highly competitive compensation and bonus package
- Access to a comprehensive benefits program designed to meet the needs of our employees
- Collaborative, in-office operating model
- Retirement program (401k and Pension)
- Medical, dental and vision insurance
- Lifestyle Spending Account
- Competitive PTO plan
- 11 paid holidays per year
- Buddy Program pairs new hires with tenured employees to guide their onboarding
- Professional development and training opportunities through upskilling, mentorship programs, and tuition reimbursement
- An allocation of remote days to use as needed throughout the year
- Our retirement program includes a 401(k) and pension plan
- Our wellbeing program supports employees at work and in their personal lives
- Our PTO plan provides five weeks of vacation for new employees and 11 paid holidays per year
- Our Lifestyle Spending Account provides an annual stipend for employees to support wellbeing activities
- Central downtown location at the Old Post Office provides easy access to public transportation and breathtaking views from our award-winning rooftop
Company Overview
Company H1B Sponsorship