Market Risk Modeling Manager

1 day ago

Cincinnati, Ohio, United States Federal Home Loan Bank Full time
Job Title: Market Risk Modeling Manager

At Federal Home Loan Bank, we are seeking a highly skilled Market Risk Modeling Manager to join our team. As a key member of our risk management function, you will be responsible for directing projects and processes, providing financial and market risk analytics, and assessing risk in support of financial risk management.

Key Responsibilities:
  • Lead the development, use, maintenance, and performance monitoring of market risk-related models to ensure they meet expected standards.
  • Assess model conceptual soundness, performance monitor, and document model owner responsibilities as per model risk management guidance.
  • Stay up-to-date with industry best practices on market risk modeling and analytics and incorporate them into our market risk modeling practices.
  • Design, develop, and implement new models and products in market risk modeling, such as valuation, risk analysis, and capital adequacy modeling.
  • Initiate and lead complex financial and market risk analytics and projects concerning all facets of financial and market risk modeling, measurement, assessment, and reporting.
  • Direct model performance monitoring responsibilities, including assessing conceptual soundness, evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process.
  • Participate in hiring, training, leading, managing, and mentoring financial analysts, and consult with senior management on complex or sensitive employee issues.
  • Lead efforts to develop, build consensus, apply, and maintain the enterprise risk management function and program, especially related to market risk and aspects of capital risk modeling.
Requirements:
  • Master's Degree in a quantitative field such as finance, economics, financial engineering, quantitative finance, or computational finance.
  • Minimum of 7 years of experience in a financial institution working with financial theory, financial mathematics, and financial and risk modeling software and practices related to market risk, asset/liability management, mortgage securities valuation, and derivatives valuation.
  • Minimum of 3 years of experience managing and leading modeling and analytics professionals as direct reports.
  • In-depth knowledge of market risk modeling within fixed income products such as mortgage valuation, prepayment modeling, complex swaps and swaptions, and other derivatives valuation, interest rate modeling, volatility modeling, and risk analytics, and model risk.
  • Strong communication skills, both verbal and written, to research, create, and present reports and analyses.
  • Advanced proficiency in programming languages and familiarity with data querying such as Python, R, SQL, or other programming languages to extract data, manipulate data, develop and implement new models, and perform advanced analytics.
  • Advanced Microsoft Office skills (particularly Excel and Word).
  • Strong leadership and mentoring skills with the ability to lead and motivate a high-performing team.
  • Strong organizational skills with the ability to prioritize and manage multiple ongoing projects and deadlines.
  • Demonstrated commitment to diversity and inclusion, promoting an environment of empathy and respect, and advocating for diversity at all levels of team members and in the selection of business partners and practices inclusion in all areas of responsibility.
Working Conditions:

Requires daily use of personal computer and modeling software, flexibility to work outside of normal working hours, and ability to pay close attention to detail.

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