Manager, Quantitative Risk Modeling

Commensurate with education and experience.
May 01, 2024
Jun 23, 2024
Full Time
Join the FHLBC team!

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.

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

Who we are:

Our mission at FHLBank Chicago: 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.

What it's like to work here:

At FHLBank Chicago, we bring people together. Our regular All-Staff meetings keep employees informed and our values drive the work that we do. Our Buddy Program pairs new hires with tenured employees to guide their onboarding. Through our Office of Diversity, Equity and Inclusion (DEI), we host signature and employee-led events to celebrate our differences and learn from each other and identify volunteer opportunities to strengthen our communities; and Employee Resource Groups (ERGs) and culture teams create connections around shared interests and experiences. We offer live and on-demand professional development opportunities to grow your skillset and your career.

What you'll do:

In this role you'll be responsible for modeling related to market risk, including but not limited to, term structure interest rate models, prepayment models for residential and commercial Mortgage-Backed Securities, fair value models and climate risk modeling etc. You'll collaborate with cross-functional teams to perform model evaluation, version upgrade, and assess market risk related to MBS, CMO, ABS, following bank and regulatory model risk guidance. You will need to ensure model accuracy, robustness of the models and provide insight and oversight related to the Bank's mortgage portfolio and support the Bank to roll out new mortgage initiatives following market change and regulatory guidance. This role has direct reports. The successful candidate will have a strong background in quantitative finance and risk management.

How you'll make an impact:
  • Oversee several of the Bank's core mission critical models to make sure the model performance meets expectation.
  • Design and roll out new products related to mortgage to support Bank strategic goals.
  • Meet ever-changing requirements from regulatory and market environment.

What you can expect:
  • Lead a team of quantitative market risk modeling professionals, provide guidance and mentorship to analysts, fostering their professional development and ensuring high-quality work.
  • Model owner of the models used for market risk and prepayment models, and to maintain the model to follow guidelines or standards set for a model owner.
  • Lead a team to assess the appropriateness of model inputs, outputs, methodology, assumptions, model performance (back-testing, benchmarking, stress testing and scenario analysis), and to conduct research and analysis to maintain the model following market and regulatory changes.
  • Develop and maintain effective working relationships with key stakeholders, including senior management, model users and model validators, ensuring effective communication and understanding of model usage and model validation finding mitigation.
  • Prepare comprehensive reports and presentations summarizing model evaluation, documentaion, annual assumption review for senior management and Model Risk Sub Committee.
  • Provide insights and oversight on Bank's mortgages portfolio and investments. Support the Bank roll out new products related to our mortgage and investment to meet Bank's strategic goals.
  • Stay up-to-date with industry best practices, emerging trends, and regulatory guidelines related to market risk modeling risk management, incorporating them into the model risk management process.

What you'll bring:
  • Master's in a quantitative discipline such as mathematics, statistics, finance, or related fields. A designation of CFA (Chartered Financial Analyst) or FRM (Financial Risk Manager) or Ph.D. degree is a plus.
  • Extensive modeling experience (9+ years) in quantitative finance, risk management, or related fields, with a focus on market risk modeling.
  • Strong knowledge of mortgage backed securities, fixed income structured products, interest rate derivatives, and advanced understanding of financial regulaory environment.
  • Proficiency in statistical, mathmatical modeling techniques and quantitative methods used in market risk modeling.
  • Exceptional analytical and problem-solving abilities, with keen attention to detail.
  • Proficiency in programming languages such as C/C++/C#, Python or R for data analysis and model implementation.
  • Familiarity with database querying languages (e.g., SQL) for data extraction and manipulation is preferred.
  • Excellent leadership and management skills, with the ability to build and motivate a high-performing team.
  • Strong organizational skills, with the ability to prioritize and manage multiple projects simultaneously.

The Perks

At FHLBank Chicago, we believe in rewarding our high performing workforce. 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 retirement program includes a 401(k) and pension plan. Our wellbeing program supports employees at work and in their personal lives: Our generous 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; and our central downtown location at the Old Post Office provides easy access to public transportation and breathtaking views from our award-winning rooftop. Step into a brighter future with us. #LI-Hybrid

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