Market Risk Analyst II

About the Bank

The Federal Home Loan Bank of Boston is a leading provider of wholesale funding for housing and community finance in New England, serving more than 420 financial institutions across the region. As a cooperative owned by over 420 banks, credit unions, insurance companies, and community development financial institutions, we provide tens of billions of dollars in reliable funding annually. Our funds help members succeed, provide families with safe and affordable housing, and generate economic development that creates jobs throughout New England. Our team of 220 professionals is innovative, collaborative, and passionate about our mission. We offer opportunities for career development, robust benefits, and work-life balance.

About the Role

The Market Risk Management Team is responsible for measuring, reporting, and analyzing the Bank’s exposures to interest rates and other market factors affecting market value and projected earnings. The Risk Analyst II is a key contributor within the Market Risk team, helping the Bank understand, measure, and communicate its exposure to interest rate risk and other market-driven factors. This role sits at the intersection of data, modeling, and decision-making, translating complex risk analytics into clear, actionable insights for senior leadership and regulators. The position involves hands-on work in safeguarding the integrity of the Bank’s risk models, data, and assumptions while delivering high-quality evaluations of exposures and sensitivities across the balance sheet, portfolios, counterparties, and individual transactions.

Responsibilities

• Oversee risk analysis model maintenance and updates, including review and updates of underlying assumptions, transactional attributes, data management routines, and incorporation of current economic and market trends.
• Generate representative assessments of the Bank’s risk exposure in its balance sheet, portfolios, counterparties, or specific transactions by modeling the impact of credit, economic, and market assumptions.
• Prepare analytical reports for financial reporting, including market value sensitivity, earnings at risk, and liquidity risk.
• Create and/or review baseline and stress case results for the Bank’s forecasts of market risk, earnings risk, and liquidity risk.
• Prepare and/or review ad hoc and formalized modeling analysis of transaction-level risk exposure, including hedge effectiveness, pro forma structured MBS trades, and liability transactions.
• Support current modeling methodologies across market risk, including model setup, performance monitoring, version testing, and model upgrades.
• Develop a thorough understanding of market risk production models and processes to implement process enhancements and new analytical techniques.
• Identify key variables in balance sheet, portfolio, and transaction exposures and quantify sensitivity to changes in key assumptions.
• Provide critical analysis of modeling results for internal validation and explaining risk positions to management.
• Provide quantitative and analytical support to senior management as needed.
• Formulate and implement data handling and automation best practices using programming languages, AI-enabled solutions, or related data disciplines.
• Perform other duties as assigned.

Qualifications

Education

A four-year degree in finance, accounting, economics, or a quantitative discipline is required. Preference is given to candidates with a graduate degree, CFA program participation, and strong quantitative/math skills.

Experience

• Preferred experience with institutional-level Asset Liability Management software such as PolyPaths or QRM, and other vendor models including Intex and ADCo Bloomberg.
• Preferred experience using database querying and business intelligence tools such as SQL, PowerBI, or AWS QuickSight.
• Must be proficient in MS Excel for financial reporting, analysis, and graphing.
• 3-5 years of prior experience in the financial services industry, with preferred experience in mortgage modeling, risk modeling, or quantitative modeling.

Knowledge & Skills

• Ability to review associate efforts for accuracy and reasonability.
• In-depth knowledge of loans, mortgages, money market instruments, derivatives, debt instruments, and security classes, including underlying MBS collateral types and deal structures.
• In-depth understanding of capital markets, trends, and developments.
• Skilled in identifying and focusing on key variables within product analytics.
• Ability to define work initiatives to meet internal and external reporting deadlines.
• Skilled in summarizing results on large portfolios.
• Ability to provide interpretations of compiled risk reports.
• Knowledge of finance and accounting principles.
• Understanding of macroeconomic trends.
• Ability to work independently or as part of a team.
• Intermediate skills with Python, SQL, Power BI, or related disciplines.
• Basic familiarity with machine learning, statistics, and probability theory.

Schedule

This role follows a hybrid work schedule in our Boston office in accordance with the Bank’s Hybrid Work Program. More time in the office will be expected initially to support onboarding.

Pay

The anticipated base pay range for this role is $76,500 – $117,000 annually. The actual base salary offer will depend on factors such as relevant experience and required skills. All full-time positions are eligible to participate in our annual incentive program and robust total rewards offerings in addition to the base pay.