Quantitative Rotational Analyst

FHLBank; Chicago (IL); On-site; USD 75,000 - 126,000; Full time

Benefits offered by this job

Competitive compensation

Bonus program

401k and Pension

Medical/dental/vision insurance

Lifestyle Spending Account

Paid holidays

Mentorship & development

Job summary

FHLBank Chicago offers a 2-year Quantitative Rotational Program across Market Risk, Model Risk, Markets Credit, and Capital Markets. Analysts will gain hands-on experience, build reporting tools, and interact with model owners, while receiving mentorship and development opportunities.

The program aims to place high-achieving analysts into permanent roles based on performance and business needs, with a strong emphasis on collaboration and in-office operations.

Qualifications

• Bachelor’s or Master’s degree in a quantitative field with 2–5 years of related experience.
• Banking/finance exposure is a plus.
• Strong Microsoft Office skills; programming for data analysis (SQL, SAS, R, VBA).
• Experience with data visualization tools (Tableau) is preferred.

Responsibilities

• Develop and/or utilize tools to analyze and monitor market risk and create reports.
• Back-test and benchmark interest rate and prepayment models; identify process improvements.
• Support validation processes across model risk and data verification.
• Analyze large loan portfolios and assist in valuation frameworks for collateral.

Skills

Quantitative analysis

Data visualization

Communication

Problem-solving

Attention to detail

Education

Bachelor's degree

Master's degree (MBA included)

Tools

SQL

SAS

R

VBA

Tableau

Microsoft Office

Job description

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. Collaborative, in-office operating model Retirement program (401k and Pension) Medical, dental and vision insurance Lifestyle Spending Account Competitive PTO plan 11 paid holidays per year Through the Federal Home Loan Bank of Chicago’s Quantitative Rotational Program, we are looking to attract, develop and retain high-achieving and driven employees to build a strong pipeline within our Risk Management and Treasury functions. The program is a 2-year rotational program consisting of four, 6-month rotations across various quantitative departments within FHLBank Chicago, such as Market Risk, Model Risk, Credit, and Treasury. Throughout the two-year program, quantitative rotational analysts are expected to gain a deep understanding of how we support our customers through the products and services the cooperative offers. This program seeks to accelerate development through structured rotational assignments, on-the-job learning, and supplemental training. In addition to on-the-job experience, participants receive Executive-level mentorship along with networking and development opportunities. Upon successful completion of the program, analysts will have the opportunity to be placed in a permanent position at FHLBank Chicago based on employee interests and business needs.

Duties and Responsibilities

Market Risk

• Responsible for developing and/or utilizing tools to analyze, monitor and create reports/processes to measure risk for the bank.
• Lead in interest rate model and prepayment model monitoring by back-testing and benchmarking.
• Perform independent analysis or research on issues and make recommendations to management for solution.
• Automate existing process to increase efficiency.
• Identify process gap and add controls where applicable.
• Provide support for inquiries from other departments related to fair value for all on balance sheet instruments, including MBS, CMO, callable bonds and interest.
• rate derivatives, such as swaps, caps and floors.
• New report development to provide insight on the Bank’s market risk exposure.

Model Risk

• Obtain basic understanding of the model development life cycle and industry best practices.
• Support different aspects of the validation process (e.g., data verification, modeling theory, benchmarking, back testing, and reporting, emerging risks).
• Increase modeling process knowledge by working with model owners and users.

Markets Credit

• Perform analytics and risk assessment on a large residential & commercial whole loan portfolio through the use of cash flow modeling, examination of loan level characteristics and risk structures.
• Assist and maintain the valuation framework and procedures around the collateral pledged to the Bank including benchmark studies, asset level loss analysis and the setting of asset specific haircuts.
• Lean and aid in development of forward-looking analytics around fixed income securities and the mortgage market.
• Extract, transform and load data into various reporting and analysis formats for utilization.
• Create and design new reports, automating processes and reports that were previously manually prepared (such as valuation summaries)
• Conducts ad hoc analysis as directed by management and provide support to area of expertise on various projects

Capital Markets

• Assist in the development of strategies related to liquidity, funding, hedging and asset acquisition.
• Participate in the daily pricing process for the Mortgage Partnership Finance cash window
• Perform pre-trade analysis and research on MBS/CMOs for investment book
• Design, develop, maintain and run tools to execute daily processes.
• Prepare documentation, reports and complete trade files..
• Manage compliance requirements.
• Communicate and collaborate with other internal parties and departments
• Manage external relationships with brokers/dealers, vendors and other counterparties.
• Flexible to learn other related functions to provide team coverage.

Requirements

• A Bachelor’s degree and at least two years (maximum five years) of related experience in fields such as Risk, Mathematics, Mathematical/Quantitative Finance, Statistics, Economics, or Actuarial Studies. OR A Master’s degree (including an MBA) in the aforementioned fields. Relevant work or internship experience in banking or finance is a plus
• Ability to develop, maintain, and foster relationships throughout our organization.
• Mastery of the Microsoft Office Suite.
• Experience and exposure to programming for data analysis and statistical/numerical techniques (SQL, SAS, R, VBA, and others as appropriate).
• Experience in data visualization techniques and associated software (such as Tableau)

Knowledge, Skills, Abilities and Behaviors Required

• Strong quantitative, analytical, and problem-solving skills.
• Knowledge of statistical techniques and data mining concepts and approaches.
• A high degree of professionalism with outstanding communication (written, verbal, and listening) skills.
• Ability to self-start and self-motivate, a willingness to take an active role to drive results by collaborating with peers and operational leadership.
• Attention to detail with respect to data and facility security, documentation, following policies, procedures, rules, and regulations.
• Proven ability to develop, analyze, and effectively interpret data.
• Critical thinking to define problems, collect data, establish facts, and draw valid conclusions.
• Appropriately solicit, accept, and apply ongoing performance feedback.

Eligibility

• Applicants for employment must have work authorization that does not now or in the future require sponsorship of a visa for employment authorization in the United States and with FHLBC (i.e., H1-B visa, F-1 visa (OPT), TN visa or any other non-immigrant status).

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

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.