Quantitative Rotational Analyst

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

Benefits offered by this job

Competitive compensation & bonus

Comprehensive benefits program

401(k) and Pension

Medical, dental and vision insurance

11 paid holidays + PTO

Job summary

The Federal Home Loan Bank of Chicago offers a two-year Quantitative Rotational Program designed to attract high-achieving analysts. You will rotate across Market Risk, Model Risk, Credit, and Treasury, gaining hands-on experience and mentorship to prepare for a permanent role.

Applicants should have strong quantitative skills and programming experience (SQL/SAS/R) with data visualization, and a track record of collaboration and problem solving.

Qualifications

• Bachelor’s or Master’s degree in a quantitative field is required.
• Strong programming experience in SQL, SAS, and R, with data visualization skills.
• 1–5 years of related banking/finance experience is a plus.

Responsibilities

• Support Market Risk by developing tools to analyze and report risk.
• Assist Model Risk with validation, data verification, and benchmarking activities.
• Perform analytics for Markets Credit, including cash flow modeling and report creation.

Skills

SQL

SAS

R

VBA

Data viz

Analytics

Education

Bachelor’s degree in a quantitative field

Master’s degree (including MBA) in quantitative fields

Tools

Tableau

MS 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 modelRetirement program (401k and Pension)Medical, dental and vision insuranceLifestyle Spending AccountCompetitive PTO plan11 paid holidays per yearThrough 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 RiskResponsible 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 RiskObtain 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 CreditPerform 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 projectsCapital MarketsAssist 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 windowPerform pre-trade analysis and research on MBS/CMOs for investment bookDesign, 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 departmentsManage 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 plusAbility 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.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 - $125,500.00The 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