Senior Market Risk Analyst

About the Role

Provides technical expertise related to the Bank's financial risk identification, measurement, management, and control processes. Assists the Director of Market Risk and other market risk managers in developing, enhancing, maintaining the Bank's market risk management analytics process, market risk management valuation and income forecast system. Researches a variety of market risk management concepts, performs income forecast modeling analytics and performs portfolio variance analysis. Provides accurate, timely, and reliable measures of the Bank's exposure to market risk, consistent with the Bank's market risk policy, management guidelines, FHFA regulations, model risk management policy, and financial reporting requirements.

Responsibilities

• Assist in market risk management by supporting and maintaining the Bank's risk and income forecast models
• Enhance the market risk measurement process for portfolio valuation and interest rate risk sensitivity analysis
• Provide analysis on risk metrics, fixed-income derivatives, and hedging strategies
• Support daily and monthly market risk processes
• Prepare periodic reports and conduct in-depth analysis of the Bank's risk exposure
• Perform detailed quantitative and qualitative analysis of key risk indicators that impact the Bank's market risk exposure
• Collaborate with cross-functional teams to perform model evaluation, version upgrades, new product modeling and development, and assess market risk, following bank and regulatory model risk guidance
• Assist in prepayment modeling, measuring and monitoring
• Facilitate continuous improvement of the Bank's proprietary and third-party market risk modeling software and measurement processes
• Develop and maintain operational procedures, processes, and applications for the department
• Assist in designing and maintaining robust internal controls to ensure the integrity of the Bank's modeling and risk valuation processes
• Perform other duties as assigned

Requirements

• Bachelor's degree in a quantitative discipline such as finance, economics, mathematics, or a related field and five years of experience directly related to financial risk measurement and fixed income analytics, with hands-on experience using portfolio valuation software
• OR Master's degree in a quantitative discipline such as finance, economics, mathematics, or a related field and three years of experience directly related to financial risk measurement and fixed income analytics, with hands-on experience using portfolio valuation software
• Comprehensive knowledge of fixed income risk management theory and practice, including term structure modeling, portfolio valuation, derivative pricing, mortgage prepayment and credit modeling
• Significant experience in fixed income analytics, including cash flow and sensitivity analysis, as well as developing and enhancing risk and income forecast models
• Proficiency in using portfolio valuation and modeling software (e.g., Algorithmics, QRM, Polypaths, SAS, FinCad, Intex), and ability to facilitate model evaluation, version upgrades, and new product modeling
• Strong analytical skills with the ability to conduct detailed quantitative and qualitative analysis of risk metrics, derivatives, and hedging strategies
• Experience with developing, maintaining, and enhancing operational procedures, internal controls, and applications to ensure the integrity of modeling and risk valuation processes
• Excellent interpersonal, communication, and organizational skills, with the ability to collaborate with cross-functional teams and manage multiple project assignments

Physical Demands

• While performing duties, routinely required to utilize cognitive ability; sit and move about the office; speak, read, listen, and write; use hands to finger, handle, or feel objects, tools or controls
• Occasionally required to stand; reach with hands and arms, climb stairs; stoop, kneel, or crouch
• Specific vision abilities required include close vision, distance vision, depth perception, and the ability to adjust focus
• May occasionally lift and/or move up to 25 pounds

Work Environment

• Work performed in a temperature controlled office environment requiring little physical exertion
• Noise level is low to moderate
• Mental concentration, attention to detail and computer use for extended periods of time is common
• Completion of complex tasks under deadline pressure may be required
• May require evening and weekend work based on business needs
• Interruptions may occur