Senior Market Risk Analyst

Federal-Home-Loan-Bank-of-Des-Moines-1; Des Moines (IA); Hybrid; USD 102,000 - 121,000; Full time

Benefits offered by this job

11 paid holidays

5 weeks PTO

Total Rewards program

401(k) matching (100% of first 6%)

Additional 4% non-discretionary to 401

Job summary

FHLB Des Moines is seeking a quantitative analyst to measure market risk on the balance sheet, run stress tests, and support the ALM system maintenance.

You will generate monthly risk reports (MVE, MVCS, EVCS, VaR), analyze attribution factors, and support risk governance via committees. Strong coding, math, and communication skills are essential for this role.

Qualifications

• Advanced degree preferred in finance, financial engineering, economics, mathematics, statistics, MBA or equivalent.
• At least 2 years of quantitative analysis experience in finance or related fields.
• Strong analytical and computer skills in Access, Excel and Word.
• Programming experience preferred (e.g., SQL, VBA).
• Strong oral and written communication skills.

Responsibilities

• Monitor and maintain daily total balance sheet risk reporting process.
• Create monthly risk reports such as MVE, MVCS, EVCS and VaR.
• Provide in-depth analysis of attribution factors for MVE and VaR changes.
• Prepare risk reports for committees (Market Risk, Enterprise Risk, ALCO, Valuation Subcommittee).
• Analyze monthly valuation and income simulation results.
• Support testing of risk reports data in bank-wide projects.
• Assist with maintenance and upgrade of risk management systems.

Skills

Analytical skills

Communication

SQL

VBA

Access

Excel

Word

Education

Advanced degree in finance, economics, math, or related field

Tools

Access

Excel

Word

SQL

VBA

Job description

At FHLB Des Moines, we work each day to develop an inclusive culture that supports and leverages the complexity of a diverse workforce. This enables us to effectively serve the needs of our members and help them succeed.Responsible for measuring market risk of the Bank’s balance sheet utilizing complex financial models, performing stress tests of market risk exposures and assisting with the implementation and maintenance of the Asset/Liability Management (“ALM”) system.Accountabilities: Job DescriptionMonitor and maintain daily total balance sheet risk reporting process.Create monthly risk reports such as Market Value of Equity (MVE), Market Value of Capital Stock (MVCS), Economic Value of Capital Stock (EVCS) and Value at Risk (VaR).Provide in-depth analysis of attribution factors for MVE and VaR monthly changes.Provide in-depth analysis of risk reports for Market Risk Committee, Enterprise Risk Committee, Asset Liability Committee and Valuation Subcommittee.Analyze monthly advance valuation results.Analyze monthly income simulation results.Monitor daily liquidity activities.Review weekly market loading and MPF pricing update reports.Identify enhancement opportunities for risk reporting processes and develop optimized solutions for them.Implement model changes, recommendations/findings from FHFA exam, model validation and other audit processes.Assist testing of risk reports’ source data in bank-wide projects.Assist performing departmental compliance with internal controls and regulations.Play a key role in maintenance and upgrade of the risk management systems, i.e. Polypaths.Other duties as assigned. Qualifications:Advanced degree preferred in finance, financial engineering, economics, mathematics, statistics, MBA or other quantitative or computing fields and/or equivalent work experience.At least 2 years of experience in quantitative analysis in finance, economics, mathematics, statistics or other quantitative/computing fields.Strong analytical and computer skills in Access, Excel and Word.Programming experience preferred, e.g. SQL, VBA.Strong oral and written communication skills.Compensation Range:Annual Salary: $102,210.00 - $121,374.00This salary range represents the Bank's good faith and reasonable estimate of possible compensation at the time of hire. Offer to be determined by selected applicant’s education, experience, knowledge, skills & abilities, as well as internal equity and alignment with market data. This role is also eligible to participate in the Bank’s annual incentive plan.As part of our competitive Total Rewards package, the Bank offers 11 paid holidays, 5 weeks of PTO and a work culture that values work/life balance. Most roles are eligible for our hybrid work schedule. We match 100% of the first 6% you contribute to your 401(k) and provide an additional 4% non-discretionary contribution to your 401(k) at the end of year. More information on our Total Rewards program can be found here .At FHLB Des Moines, we work to create an inclusive culture. This enables us to effectively serve the needs of our members and help them succeed. FHLB Des Moines is proud to be an Equal Opportunity Employer. We prohibit discrimination on the basis of race, color, religion, sex (including pregnancy, sexual orientation or gender identity), national origin, age, disability, veteran status, genetic information (including family medical history), status as a parent or any other characteristic protected by federal, state or local law.