Market Risk Analyst I - Hybrid

Don't let our name scare you, we are not your average bank.

With nearly a century of service, FHLBI is one of 11 independent regional cooperative banks across the U.S. Simply put, we're a bank for banks, credit unions, community development financial institutions and insurers across Indiana and Michigan. As a cooperative, we are dedicated to strengthening communities throughout our region.

But enough about us, let's talk about you.

Are you looking for a company that views their employees as their greatest asset?

A company that's dedicated to making a difference in the community? So much so they pay their employees to volunteer?

Do you want to join a talented workforce that prioritizes diversity, equity and inclusion, and promotes learning and development, unique skills/ideas, and employee engagement?

If you've said yes to these questions, then we might be a match!

Here is what we offer:

• Flexible hybrid workforce model: Onsite two days a week and three days remote. We offer a fully remote schedule the week of Thanksgiving and last two weeks in December!
• You even get a $500 work from home (WFH) stipend to build your home office!
• Fantastic, competitive pay and total rewards
• Industry-high 401(k) match: up to 6% PLUSan additional 4% contribution!
• Tuition reimbursement assistance: To help you continue to develop personally and professionally.
• Student loan repayment assistance: That's right, we will help you repay outstanding student loans!
• Awesome Benefits Package: Medical, dental, vision benefits and even pet (you read that right) insurance!
• Generous time off: Vacation, paid federal holidays, birthday month floating holiday, volunteer day and summer hours program
• "Dress for your day" dress code: You choose the appropriate work attire based on what your day looks like.

Purpose:

The ERM Market Risk Analyst I is responsible for providing financial, analytical, statistical, and mathematical information to bank management to support risk and business-related decision-making with a focus on market risk analysis. The role resides in the Enterprise Risk Management department, whose primary focus is identifying, measuring, monitoring, and reporting the level and trends of risk within the organization. Examples of past and current responsibilities and projects include leading production processes and controls for market risk analysis, performing testing on model upgrades, and ad-hoc management analysis requests.

The Enterprise Risk Management department is responsible for Market, Credit, and Operational risk modeling and analysis. The department works closely with several lines of business in the Bank including, the Trade Desk, Accounting, Information Technology, and Internal Audit.

The following statements are intended to describe the general nature and level of work being performed by persons assigned to the job. They are not intended to be an exhaustive list of all responsibilities or abilities required of persons so classified. The Bank reserves the right to alter or amend this description at any time.

Specific Responsibilities:

• With high degree of independence, implements, tests, and operates a diverse range of market risk processes for subjects such as interest rates, mortgage prepayments, instrument valuation, option cost, etc. as well as other enterprise needed developments.
• Support the production of market risk analysis and reporting including balance sheet risk analysis, and work on special projects as required. Provide market value-based risk metrics and performance measures for portfolio and balance sheet level risk analysis and portfolio management. Uses the PolyPaths platform along with quantitative tools and techniques to measure and analyze valuations of financial instruments and risk model results and reaches conclusions on changes in risk positions as well. Also supports research of model settings and assumptions for the risk management decision purposes as well as providing support to the business to assist in optimal risk/return strategies.
• Produce production risk reports, including market risk report, attribution analysis, run-off cash flows, etc. Perform shared PolyPaths runs, tasks & reporting, coordinating responsibilities with ERM staff.
• Researches and applies quantitative techniques from fields such as statistics, econometrics, applied mathematics, and other data science applications toward the solution of important problems for risk management purposes.
• Assist in general improvement, automation, and maintenance of the PolyPaths risk modeling environment, databases, testing (e.g. PolyPaths upgrades) and tasks. Assist actively to redesign processes to improve efficiency. Provide ideas to improve product specific and overall analytics.
• Performs quantitative analysis and develops complex reports. Performs qualitative and quantitative assessments of all aspects of market risk management, model design and implementation as well as data quality and integrity utilizing technics such as optimization, sampling testing, etc. Analyzes complex data and associated quantitative analysis. Makes recommendations based on continue research and testing of modeling suites.
• Stays current with technical enhancements, methodologies, statistical, mathematical, and analytical/computational techniques, and trends related to market risk management. Researches, understands, and implements next-generation analytical capabilities to Enterprise Risk Management and market risk core functions to support market risk management understanding, regulatory testing, lines of business needs and model validation requirements such as model performance tracking methodologies and resolution of model validation findings.
• Solves and assists within technical troubleshooting issues in coordination with management, business, and IT on matters related to modeling estimations and maintenance such as: input testing, model actual workflow and interconnection with multiple Bank's data repositories, output, reporting, etc. Researches and understands modeling needs related to data storage or computing driven by model settings, assumptions, or business/theoretical needs.
• Comfortable explaining highly technical details related to market risk management and model assumptions to management, team members, and supporting staff across the organization on continuing basis.
• Comfortable in conveying the information related to market risk analysis and management along with the associated model assumptions, in a comprehension level to answer to management, team members, and supporting staff across the organization on continuing basis.
• Participates in the in-house development on top of tuning/assessment of market risk models as needed.
• Interacts directly with market risk validators about market risk processes, controls, and documentation as well as needs defined by the regulatory and internal policies framework.
• Writes succinct documentation of market risk processes and controls to meet standards set by the Model Risk Management Group, as well as regulatory (FHFA) modeling Advisory Bulletins.
• Collaborates as an effective communicator.
• Leads the development of new market risk processes and enhancements of existing market risk processes including automations of processes. Responsible for maintaining ongoing reporting pertaining to market risk including model change approvals, validation recommendations, and other remediation steps.
• Be a key resource for explaining risk numbers, new risk analytics, data issues, market information, risk modeling, testing, and implementing new models and systems etc.
• Develop, generate, and explain complex financial information requests in a timely and accurate manner for Bank management, the FHFA or other parties as required.
• Perform or assist in ad-hoc analyses in a timely manner.

Position Requirements:

• Master's degree in Mathematics, Quantitative Analysis, Statistics, Financial Engineering, or any other quantitative field ideally with a minor in Computer Science. Alternatively, Finance/Economics Master with undergraduate in Mathematics/ Statistics/ Quantitative/Engineering ideally with Computer Science course load.
• 1-2 years of experience (could include time as a research assistant while doing graduate studies) doing quantitative risk or related analysis or research in any of the following areas: quantitative finance, applied mathematics: optimization / mathematical programming, econometrics, and statistics including time-series analysis.
• Ideally 1+ years of experience with Asset/Liability and valuations software/models such as Polypaths, QRM, ZMDesk, Principia, etc. Hence a good understanding of fixed income principles, including mortgage-backed securities and derivatives is a significant plus.
• 1+ years of experience in at least one of the following languages: Python, R, Scala, MATLAB, Java, C/C++/C#, SAS, Stata, SPSS, or VBA.
• Professional certifications, such as CFA (Chartered Financial Analyst), FRM (Financial Risk Manager) or PRM (Professional Risk Manager) a plus.
• Experience with database management concepts and tools: SQL or Oracle.
• Advanced analytical skills necessary to develop complex financial, quantitative and market risk reports and analyses.
• Strong ability to identify potential concerns, analyze and solve problems; ability to work effectively and independently to resolve such issues.
• Detail oriented and flexibility to support management and regulatory reporting.
• Strong organizational skills.
• Ability to prioritize multiple competing objectives with high degree of initiative and independence.
• Ability to work as required for meeting deadlines.
• Verbal, written, and interpersonal skills to communicate effectively with all levels of Bank personnel.
• Must not have been convicted on any civil or criminal charge that would suggest a risk to bank security.
• Ability to work full time.
• Ability to uphold and model the bank's guiding principles.

FHLBank Indianapolis is an Equal Opportunity Employer.