Market Risk Analyst

About the role

The Market Risk Analyst will be responsible for modeling related to market risk, including but not limited to structured interest rate models, prepayment models, and fair value models for residential and commercial Mortgage-Backed Securities. They will collaborate with cross-functional teams to perform model evaluation, version upgrade, and assess market risk related to Derivatives, Bonds, Mortgages and Investments following bank and regulatory model risk guidance.

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.

Requirements

• 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 (CFA/FRM certifications a plus).
• 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.
• 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.
• Must quickly develop a comprehensive understanding of the bank's modeling tools used for valuation and risk measurement.

Qualifications

• 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.

Skills

• Basic understanding in fixed income, mortgages, mortgage-backed securities, derivatives, and option pricing models.
• Basic understanding in term structure models.
• 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

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; and our central downtown location at the Old Post Office provides easy access to public transportation and breathtaking views from our award-winning rooftop.

Pay

$75,325.00 - $125,500.00 The above represents the expected salary range for this job requisition. Ultimately, in determining your pay, we may also consider your experience, and other job-related factors. In addition to the base salary, we offer a comprehensive benefits package which can be found here: https://hrportal.ehr.com/fhlbc.