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Market Risk Modeling Specialist
2 months ago
Position Overview
The Market Risk Modeling Specialist plays a crucial role in the measurement and reporting of market risk by overseeing the technical foundations of the analytical systems within the Market Risk division. This encompasses the integration and evaluation of third-party prepayment and default models, deal structuring libraries, term structure models, and various behavioral modeling assumptions. Beyond Market Risk, this role also extends support to departments such as Credit, Capital Markets, Accounting, and Member Services, ensuring the effective utilization of model outputs and crafting tailored assumptions and operational workflows for their specific needs.
Key Responsibilities
- Develop operational workflows and suitable assumptions for diverse valuation and risk modeling applications across the organization.
- Lead the implementation and assessment of new valuation and simulation models, as well as enhancements to existing analytical tools, coordinating additional resources as required.
- Proactively identify, investigate, and resolve modeling challenges arising from evolving market conditions and business strategies.
- Utilize judgment, expertise, and innovation to devise solutions for modeling issues that cannot be easily addressed with current tools.
- Conduct regular back testing, benchmarking, and sensitivity analyses of significant model assumptions, providing guidance and training to others as necessary.
- Effectively communicate and clarify complex valuation and modeling concepts to stakeholders at various levels within the organization.
- Assist in the risk measurement and reporting functions related to valuation and earnings sensitivity as needed.
- Support the training and mentorship of junior analysts in the Market Risk, Capital Markets, and COR Departments regarding the applications and limitations of market risk models.
Qualifications
- Bachelor's degree in mathematics, finance, statistics, economics, or a related quantitative field; advanced degrees are preferred.
- A minimum of seven years of experience in Market Risk Management, Collateral Valuation, Asset Liability Management, or Modeling.
- Preferred designations include CFA, PRM, FRM, or CQF.
- Extensive knowledge of fixed income and derivative markets, particularly in valuation and risk assessment.
- Strong understanding of the common inputs and assumptions utilized in prepayment and default models for residential mortgage loans.
- Hands-on experience with the theoretical principles behind prevalent term structure models used in fixed-income analytics, especially in the mortgage sector.
- Familiarity with financial accounting principles, particularly ASC 326, ASC 815, and ASC 820.
- Operational proficiency in calculating the primary measures of Market Risk.
- Programming skills in VBA, MATLAB, SAS, Python, or SQL, with at least three years of experience using these tools for data manipulation, analytics, or process automation.
- Direct and recent experience with trading and risk management platforms such as PolyPaths, QRM, or Empyrean.
- Experience with Bloomberg Terminal, Bloomberg Data License, or other leading providers of market data and security information.
Applicants with a Bachelor's degree and a minimum of five years of relevant experience, demonstrating knowledge in the areas listed above, may be considered for an alternative level role.
The Federal Home Loan Bank of Pittsburgh is committed to ensuring equal employment opportunities for all employees and applicants, without regard to race, religion, color, sex, national origin, age, disability status, genetic information, veteran's status, ancestry, sexual orientation, or parental status, as defined by applicable law. The Bank adheres to applicable laws concerning the employment of individuals with disabilities, including reasonable accommodations for applicants and employees with disabilities.
