Details
Posted: 10-May-23
Location: Chicago, Illinois
Salary: Open
Internal Number: R2300106
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.
* Medical, dental and vision insurance
* Retirement program (401k and Pension)
* Generous PTO plan
* 11 paid holidays per year
* Hybrid working model (effective February 22, 2022)
* Casual dress code
Who we are
FHLBank Chicago partners with our members in Illinois and Wisconsin to provide them competitively priced funding, a reasonable return on their investment in the Bank, and support for their community investment activities. We are one of 11 Federal Home Loan Banks created by Congress in 1932 as a government sponsored enterprise to support mortgage lending and community investment. We are member owned and member focused. Our members include banks, credit unions, insurance companies and CDFIs (Community Development Financial Institution).
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. Our Employee Value Proposition is honed by listening and identifying the needs and priorities of our valued employees. Through CommuniTeam, we volunteer and identify ways to strengthen our communities. Our Office of Diversity, Equity and Inclusion (DEI) hosts signature and employee-led events for continued learning; and Employee Resource Groups (ERGs) and culture clubs 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 monitoring, modeling and analyzing the credit risks associated with the Bank's Mortgage Partnership Finance (MPF) and investment portfolio. The responsibilities include operating mortgage credit risk models, creating algorithmic solutions and performing qualitative and quantitative analysis to assess the credit risk of various asset classes. The responsibilities also include developing modeling methodology and documentation, optimizing processes through advanced data analytics and programming tools, and supporting model validation and examination to improve predictive accuracy and ensure compliance. A successful candidate will have in-depth knowledge in economics, fixed income products, mortgage markets and credit risk management.
How you'll make an impact:
- Serve as data and modeling expert to measure, assess and control credit risks related to the Bank's MPF and Investment portfolios
- Support business line and senior management in managing credit risks to ensure regulatory compliance and achieve business objectives
- Lead the development of the Bank's climate risk framework and capabilities
What you can expect:
- Lead the development and implementation of credit risk models for the mortgage loan portfolio to predict prepayment, default and losses
- Build algorithmic solutions and design strategies for model assumption setting and performance monitoring
- Conduct scenario analysis and stress testing to assess portfolio risks under macroeconomic and climate risk scenarios
- Research and develop analytical models and risk management frameworks to assess climate-related risks on mortgage portfolios in accordance with regulatory requirements and industry best practices
- Leverage analytical tools to assess and drive insights from mortgage delinquencies, defaults and concentration risks
- Collaborate with validators, auditors and regulators to improve model accuracy and ensure regulatory compliance
- Optimize business processes through the use of data management and programing tools
- Build strong and trustworthy partnerships with internal stakeholders and external vendors
What you'll bring:
- Bachelor's degree in mathematics, finance, economics, statistics, computing, or related fields. Advanced degree desired
- CFA or FRM candidates preferred
- 3 - 5 years of work experience in finance, data analytics or modeling
- Experience in the Financial Service industry preferred
- Experience with mortgage underwriting and servicing desired
- Experience with building predictive statistical models and developing algorithmic solutions desired
- SQL database
- Python/R or other programming language
- Tableau/Alteryx or other business intelligence tools
- MS Excel, PowerPoint and Word
- Advanced knowledge in fixed income, mortgage market and credit risk management
- Familiarity with climate risk analytics and regulatory frameworks desired
- Ability to think critically, synthesize analytical results and make recommendations based on insights
- High degree of attention to detail, self-motivation and professionalism
- Strong problem-solving and analytical skills
- Excellent verbal and written communication skills
- Ability to manage projects in a fast-paced work environment, prioritize tasks, and meet deadlines while ensuring high-quality work
- Ability to collaborate with peers and stakeholders in a team environment
The Perks
At FHLBank Chicago, employees come first. 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 401K and Pension. Our generous PTO plan provides five weeks of vacation for new employees and 11 paid holidays per year. We offer work from home options and a casual dress code at our beautiful new space in the Old Post Office. Step into your future with us.
#LI-Hybrid
