Model Risk Analyst

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.

About the role

The Model Risk Analyst (Analyst) within the Model Risk Management Group (MRM) is responsible for various tasks supporting model validation and risk governance. The tasks are both technical (e.g., related to data analytics and quantitative modeling) and administrative (e.g., documentation requirements). By completing these tasks, the analyst will enhance both their technical skills and understanding of how financial models are used within the bank.

Responsibilities

• Explain and present testing results to MRM, model owners, and other stakeholders.
• Work effectively with other risk analysts within MRM and perform ad-hoc analysis to support model-related initiatives.
• Review model data sources, assumptions, and underlying theory for conceptual soundness.
• Perform sensitivity analysis and attribution analysis to determine the key financial risk factor(s)/input(s) impacting the Model.
• Challenge current methods by considering additional modeling enhancements or different metrics to assess model effectiveness.
• Perform independent benchmarking, back testing, and other analysis for applicable models.
• Recommend new ways to automate/improve the modeling process.
• Effectively challenge the model owners by identifying potential model weaknesses and provide constructive recommendations.
• Drive innovation by leading the charge in enhancing credit and financial models.
• Collaborate and influence by working closely with model owners and stakeholders to strengthen risk management practices.
• Automate and optimize the modeling process to ensure efficiency and accuracy in financial risk assessments.

Requirements

• Graduate Degree (MS/MA/MBA) in a quantitative discipline (e.g., Mathematics, Statistics, Financial Mathematics, Econometrics).
• 0-3 years of modeling or model validation working experience.
• Passionate about risk management and interested in model validation.
• Detail-oriented, a critical thinker, and possess excellent communication skills.
• Proficient in Microsoft Office suite (Excel, Word, Access, PowerPoint).
• Knowledge in Statistics (logistic regression) and basic data analysis plus knowledge of SQL/R/Python.
• Basic understanding of fixed income securities or mortgage products (CFA/FRM certifications a plus).
• Knowledge of stochastic processes or interest-rate model techniques preferred.
• Experience using machine learning techniques utilizing regression and classification algorithms preferred.
• Familiar with Tableau and level of detail (LOD) preferred.

Benefits

• Highly competitive compensation and bonus package.
• Comprehensive benefits program including medical, dental, and vision insurance.
• Retirement program (401k and Pension).
• Lifestyle Spending Account for wellbeing activities.
• Competitive PTO plan providing five weeks of vacation for new employees.
• 11 paid holidays per year.
• Central downtown location at the Old Post Office with easy access to public transportation and rooftop views.
• Buddy Program for new hires.
• Professional development and training opportunities through upskilling, mentorship programs, and tuition reimbursement.
• Allocation of remote days to use as needed throughout the year.

Pay

Salary Range: $75,325.00 - $125,500.00