Income Simulation Analytics, Assoc. Dir.

The Federal Home Loan Bank of San Francisco (the “Bank”) is a cooperative, wholesale bank that provides liquidity to its members and helps meet community credit needs by providing credit products and services to member financial institutions through all economic cycles. The Bank’s members include commercial banks, credit unions, industrial loan companies, savings institutions, insurance companies, and community development financial institutions headquartered in Arizona, California, and Nevada.

About the role

The Senior Associate, Income Simulation Analytics, will reside within the Risk Division under the Chief Risk Officer (CRO). Market Risk Management (MRM) serves as an oversight function to the “first line of defense” and is responsible for identifying and quantifying the market risk embedded in the Bank’s portfolio, as well as the Bank’s corporate financial forecasts and retained earnings analysis. This position will prepare and review the Bank’s income simulation forecasts and analytics.

Responsibilities

• In conjunction with team members, develop the Bank’s annual strategic plan, periodic earnings forecast updates, and gap analysis.
• Identify, quantify, monitor, and report market risk for projected earnings analytics in collaboration with the team.
• Perform alternative what-if scenario simulations to support risk management and strategic planning processes.
• Maintain and enhance existing reports developed using SQL, Power BI, and Power Query, including identifying and implementing ongoing improvements.
• Assist in the development, management, and enhancement of the Bank’s market risk income simulation model and mortgage prepayment models.
• Develop, maintain, and enhance the Bank’s income simulation procedures and controls.

Requirements

• Undergraduate degree in a technical field such as Math, Finance, or Economics (required). Graduate degree is a plus.
• Preferably three years of quantitative analytical experience, ideally in a financial institution or other highly regulated environment.
• Understanding of market risk management concepts, measurement approaches, and risk management practices.
• Knowledge of the role of market risk management within a financial intermediary.
• Understanding of balance sheet and capital structure.
• Familiarity with fixed income capital markets, MBS analytics, and associated pricing and valuation methods.
• Demonstrated experience using analytic systems and models to measure risk. Experience with QRM, AFT, and Polypaths is desirable.
• Strong attention to detail and ability to work within cross-functional teams while managing projects under tight deadlines.
• Intermediate knowledge of SQL.
• Working knowledge of MS Office Suite (especially Excel), VBA, Access, Power BI, Power Query, and Copilot.
• Strong analytical thinking, problem-solving, and communication skills (both verbal and written).

Skills

• Excellent interpersonal skills for a team-centered environment.
• Self-motivated with strong organizational abilities.

Pay

Salary range: $120,000 – $140,000 (base salary, not inclusive of annual incentive awards, retirement benefits, or other health and welfare benefits).