At the Federal Home Loan Bank of Chicago, employees come first - that’s why we offer a highly competitive compensation and bonus package, and access to a comprehensive benefits program designed to meet the needs of our employees.
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Retirement program (401k and Pension)
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Medical, dental and vision insurance
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Lifestyle Spending Account
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Competitive PTO plan
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11 paid holidays per year
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Hybrid working model
Visit FHLBCbenefits.com for additional details about our benefits.
Senior Risk Analyst
Chicago
Responsibilities
- Review and evaluate models used across different groups, including pricing models, credit risk models, market risk models, analyze model inputs, assumptions, methodologies, and results to assess model soundness and to identify potential weaknesses, biases, and limitations, recommending enhancements and modifications as necessary
- Build alternative models or monitoring analyses to benchmark back-test practices and drive continual improvements
- Conduct research and analysis to identify areas of improvement in model validation techniques and methodologies
- Stay current with regulatory guidelines, industry best practices, and emerging trends in model validation as well as Bank business, incorporating them into the validation process and framework
- Assist in preparation of comprehensive reports and presentations summarizing model validation findings, key risks, and recommendations for senior management and Model Risk Sub Committee.
Position Requirements
- Master's degree in a quantitative discipline such as mathematics, statistics, finance or related field
- 2 years of related experience
- Any amount of experience validating PolyPaths and Summit models including verifying model choices, market data processing, risk calculations and derivatives valuation, and back testing and benchmarking performance
- Any amount of experience building challenger model with statistical/mathematical techniques including Generalized Linear Model (GLM), decision tree and non-linear correlation coefficient to benchmark and assess production credit model
- Any amount of experience utilizing languages VBA, SQL and at least one of the following (R, Python, C, C#, C++) to extract, process and analyze data and perform model validation
- Any amount of experience analyzing and validating mortgage-backed securities modeling including structures, valuation, risks, prepayment behavior, loss allocation and mortgage rates modeling
- Any amount of experience managing multiple projects simultaneously including ad-hoc assessments
Must live within normal commuting distance of worksite. Up to 40% remote work allowed (require 3 days on site per work week).
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What We Do
Our Mission:
To partner with our members in Illinois and Wisconsin to provide them competitively priced funding, a reasonable return on their investment in the Bank, and support for their community investment activities
