Model Risk Analyst

Federal Home Loan Bank of Chicago; Chicago, Northern (IL, KY); Hybrid; USD 75,000 - 126,000; Full time

Benefits offered by this job

Competitive compensation and bonus

401(k) and pension plan

PTO 5 weeks + 11 holidays

Lifestyle Spending Account

Downtown Chicago location

Job summary

FHLBank Chicago is seeking a Model Risk Analyst to support model validation and risk governance within the Model Risk Management Group. The role blends technical data analytics with documentation responsibilities to strengthen the bank's financial models.

You will drive innovation, collaborate with model owners and stakeholders, and propose improvements to automate the modeling process while contributing to risk management practices.

Qualifications

• 0-3 years of modeling or model validation experience.
• Passionate about risk management and interested in model validation.
• Detail-oriented with strong communication skills.
• Proficient in statistics and data analysis; familiar with SQL/R/Python.
• Knowledge of fixed income securities or mortgage products a plus; CFA/FRM a plus.

Responsibilities

• Explain and present testing results to MRM, model owners and stakeholders.
• Perform ad-hoc analysis to support model-related initiatives.
• Review model data sources, assumptions, and underlying theory for conceptual soundness.
• Perform sensitivity and attribution analyses to identify key risk factors.
• Benchmark, back test and analyze applicable models independently.
• Recommend automation and improvements to the modeling process.
• Challenge model owners and provide constructive recommendations.

Skills

Risk management

Detail-oriented

Excellent communication

Critical thinking

Tools

Excel

Word

Access

PowerPoint

SQL

R

Python

Tableau

Job description

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

The Model Risk Analyst (Analyst) within the Model Risk Management Group (MRM) is responsible for various tasks supporting model validation and risk governance. The tasks are both technical (e.g., related to data analytics and quantitative modeling) and administrative (e.g., documentation requirements). By completing these tasks, the analyst will enhance both his/her technical skills and understanding of how financial models are used within the bank.

How you’ll make an impact

Drive Innovation: Lead the charge in enhancing credit and financial models by challenging current methods and proposing innovative enhancements to improve model effectiveness.

Collaborate and Influence: Work closely with model owners and stakeholders, presenting testing results and providing constructive recommendations to strengthen our risk management practices.

Automate and Optimize: Recommend new ways to automate and improve the modeling process, ensuring efficiency and accuracy in our financial risk assessments.

What you can expect

Explain and present testing results to MRM, model owners and other stakeholders;

Work effectively with other risk analysts within MRM and perform ad-hoc analysis to support model-related initiatives;

Review model data sources, assumptions, and underlying theory for conceptual soundness;

Perform sensitivity analysis and attribution analysis to determine the key financial risk factor(s)/input(s) impacting the Model;

Challenge current methods by considering additional modeling enhancements or different metrics to assess model effectiveness;

Perform independent benchmarking, back testing and other analysis for applicable models;

Recommend new ways to automate/improve the modeling process;

Effectively challenge the model owners by identifying potential model weakness and provide constructive recommendations.

What you’ll bring

0-3 years of modeling or model validation working experience;

Passionate about risk management and interested in model validation;

Detail-oriented, a critical thinker and possess excellent communication skills;

Proficient in Microsoft Office suite (Excel, Word, Access, PowerPoints)

Knowledge in Statistics (logistic regression) and basic data analysis plus knowledge of SQL/R/Python

Basic understanding in fixed income securities or mortgage products (CFA/FRM certifications a plus).

Knowledge of stochastic processes or interest-rate model techniques preferred;

Experience using machine learning techniques utilizing regression and classification algorithms preferred;

Familiar with Tableau and level of detail (LOD) preferred

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. Visit FHLBCbenefits.com for additional details about our benefits. Step into a brighter future with us.

Salary Range

$75,325.00 - $125,500.00

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