Financial Modeling Analyst ID-146
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.
• Retirement program (401k and Pension)
• Medical, dental and vision insurance
• Lifestyle Spending Account
• Generous PTO plan
• 11 paid holidays per year
• Hybrid working model
Financial Modeling Analyst
Chicago
Responsibilities
- Build and support models used within the Balance Sheet Management and Mortgage Capital Markets areas of the Finance Accounting and Markets Group
- Monitor interest rate, prepayment and securitization models, both external and internal, focusing on how they impact pricing, funding, hedging, accounting and market risk
- Solve for the theoretical price of financial instruments using stochastic differential equations, review model assumptions and underlying theory for conceptual soundness with an emphasis in explaining drivers to markets area stakeholders
- Use advanced financial mathematics and statistical confidence indicators to perform sensitivity and attribution analyses to determine the key financial risk factors impacting the model
- Perform independent benchmarking, back testing and other analysis as needed
- Support internal and external audit by creating comprehensive model documentation and responding to recommendations and findings
- Implement numerical methods for cash flow analysis and recommend new ways to automate/improve the modeling process
- Review model data sources
- Use advanced data visualization techniques to inform financial decision making.
Position Requirements
- Master's degree in Quantitative Finance and Risk Management or related field
- 8 months of related experience
- Any amount of experience implementing a deep learning algorithm for solving high-dimensional PDEs using mesh-free approach and evaluate performance against analytical solutions and Monte-Carlo simulations
- Any amount of experience utilizing numerical methods (Nelder-Mead Simplex) in the non-linear Log-Periodic Power Law (LPPL) model to predict stock crashes based on SP500 data
- Any amount of experience constructing a new risk factor for portfolio analysis and benchmarking using statistical confidence indicators (t-stats), back testing, and Barra risk model
- Any amount of experience applying multivariate models to identify and examine disparities within minorities and underserved communities in the financial markets
