Senior Analyst, Model Validation

Who we are:

FHLBank Chicago partners 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. We are one of 11 Federal Home Loan Banks created by Congress in 1932 as a government sponsored enterprise to support mortgage lending and community investment. We are member owned and member focused. Our members include banks, credit unions, insurance companies and CDFIs.

What it's like to work here:

At FHLBank Chicago, we bring people together. Our regular All-Staff meetings keep employees informed and our values drive the work that we do. Our Buddy Program pairs new hires with tenured employees to guide their onboarding. Our Employee Value Proposition is honed by listening and identifying the needs and priorities of our valued employees. Through CommuniTeam, we volunteer and identify ways to strengthen our communities. Our Office of Diversity, Equity and Inclusion (DEI) hosts signature and employee-led events for continued learning; and Employee Resource Groups (ERGs) and culture clubs create connections around shared interests and experiences. We offer live and on-demand professional development opportunities to grow your skillset and your career.

What you'll do:

You will be responsible for performing independent model validation for various models used in risk management, pricing, and decision-making processes. You will have a strong background in quantitative analysis, financial modeling, and model validation methodologies. The role is reporting to the Director of Model Validation.

How you'll make an impact:

• Review and evaluate models used across different groups, including pricing models, credit risk models, market risk models to identify potential weaknesses, biases, and limitations;
• Conduct research and analysis to identify areas of improvement in model validation techniques and methodologies, and recommend enhancements and modifications as necessary;
• Develop and maintain effective working relationships with key stakeholders, including senior management and model owners, ensuring effective communication and understanding of model validation findings.

What you can expect:

• Review and evaluate models used across different groups, including pricing models, credit risk models, market risk models, and to identify potential weaknesses, biases, and limitations.
• Analyze model inputs, assumptions, methodologies, and results to assess model soundness.
• Evaluate model performance and identify limitations, weaknesses, and potential areas of improvement, recommending enhancements and modifications as necessary.
• 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, incorporating them into the validation process and framework.
• Develop and maintain effective working relationships with key stakeholders, including senior management and model owners, ensuring effective communication and understanding of model validation findings.
• Assist Model Validation Director to prepare comprehensive reports and presentations summarizing model validation findings, key risks, and recommendations for senior management and Model Risk Sub Committee.

What you'll bring:

• Master's or Ph.D. degree in a quantitative discipline such as mathematics, statistics, finance, or related fields. A CFA (Chartered Financial Analyst) or FRM (Financial Risk Manager) designation is a plus.
• Extensive modeling experience (3-5 years) in quantitative finance, risk management, or related fields, with a focus on model validation.
• Strong knowledge of mortgage backed securities, fixed income structured products, interest rate derivatives, and advanced understanding of financial regulatory environment.
• Proficiency in statistical, mathematical modeling techniques and quantitative methods used in model validation.
• Strong analytical and problem-solving abilities, with keen attention to details.
• Proficiency in programming languages such as C/C /C#, Python or R for data analysis and model implementation.
• Familiar with database querying languages (e.g., SQL) for data extraction and manipulation.
• Good organizational skills, with the ability to prioritize and manage multiple projects simultaneously.

The perks:

At FHLBank Chicago, employees come first. 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 401K and Pension. Our generous PTO plan provides five weeks of vacation for new employees and 11 paid holidays per year. We offer work from home options and a casual dress code at our beautiful new space in the Old Post Office. Step into your future with us. #LI-Hybrid