Quantitative Rotational Analyst

The Federal Home Loan Bank of Chicago; Chicago (IL); On-site; USD 75,000 - 126,000; Full time

Benefits offered by this job

401k and Pension

Medical, dental and vision insurance

Lifestyle Spending Account

Competitive PTO

11 paid holidays per year

Job summary

The Federal Home Loan Bank of Chicago is actively seeking quantitative analysts for its 2-year Rotational Program in Risk Management and Treasury. You will gain exposure across Market Risk, Model Risk, Credit, and Capital Markets while developing deep expertise in fixed income, risk analytics, and reporting.

Participants receive mentorship, structured training, and networking opportunities, with potential placement into a permanent position on completion.

Qualifications

• Bachelor's degree with 2–5 years in risk, mathematics, or quantitative finance.
• Master's degree (MBA) in the aforementioned fields is a plus.
• Experience in banking or finance is a plus.
• Strong relationship-building skills across the organization.
• Proficiency with Microsoft Office Suite and data visualization tools.

Responsibilities

• Develop and/or utilize tools to analyze, monitor, and report risk for the bank.
• Lead in interest rate and prepayment model monitoring with back-testing and benchmarking.
• Perform independent analysis and recommend solutions to management.
• Automate processes to increase efficiency and add controls where needed.
• Create new reports and provide ad hoc risk analytics as requested.
• Collaborate with markets, risk, and treasury teams on project initiatives.

Skills

Quantitative skills

Analytical thinking

Communication skills

Self-motivation

Education

Bachelor's degree with 2–5 years in Risk/Math/Quant fields

Master's degree (MBA) in relevant fields

Tools

SQL

SAS

R

VBA

Tableau

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 retainhigh-achievingand drivenemployees 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 rotationalanalystsare expected to gain a deep understanding of howwe support ourcustomers 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. ORA 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 relationshipsthroughoutour 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, andapplyongoing performance feedback.

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