Market Risk Analyst

Who we are:

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.

What it’s like to work here:

At FHLBank Chicago, we bring people together. We are committed to a high performing, engaged workforce, and to supporting the communities we serve across Illinois and Wisconsin. Our Buddy Program pairs new hires with tenured employees to guide their onboarding. Our professional development and training opportunities through upskilling, mentorship programs, and tuition reimbursement allow employees to grow their career with us. Our collaborative, in-office operating model brings teams together to foster innovation, connection, and shared success. To support balance and flexibility, employees are provided with an allocation of remote days to use as needed throughout the year.

What you’ll do:

In this 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. You’ll 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. You will also be responsible for providing the accurate & timely measurement, analysis, monitoring, and reporting of market risk for the Bank. The ideal candidate should demonstrate superior analytical thinking and problem-solving skills, along with a desire to learn and develop new concepts.

How you’ll make an impact:

• 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. 

What you can expect:

• Assist in modeling related to market risk including term structure interest rate models, prepayment models for residential and commercial Mortgage-Backed Securities, and fair value models. 

• Document, review, assess, and update model assumptions and valuation methodologies. 

• Review, maintain and upgrade the risk management systems and perform quantitative analysis to assess changes and enhancements to the pricing models within vendor applications. 

• Research new ways to automate/improve operation and reporting process. 

• Troubleshoot and timely resolve issues impacting regulatory reporting. 

• Collaborate with cross-functional teams to perform model evaluation, version upgrades, and assess market risk, following bank and regulatory model risk guidance. 

• Report and provide in-depth analysis of the risk exposure and attribution analysis of Market Value of Equity change of the bank’s balance sheet. 

• Work with other departments across the bank to develop, test, and roll out new products. 

• Handle inquiries from external regulators and auditors. 

• Work on ad hoc projects supporting bank’s strategic initiatives. 

What you’ll bring:

• 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. 

• 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. 

The Perks:

At FHLBank Chicago, we believe in rewarding our high performing workforce. We offer a highly competitive compensation and bonus package, and access to a comprehensive benefits program designed to meet the needs of our employees. 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. Step into a brighter future with us.

Salary Range:

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