Market Risk Modeling Specialist

2 weeks ago

Pittsburgh, Pennsylvania, United States Federal Home Loan Bank Pittsburgh Full time

Position Overview

The Market Risk Modeling Specialist plays a crucial role in the measurement and reporting of market risk by overseeing the technical aspects of the analytical systems within the Market Risk division. This encompasses the integration and validation of third-party prepayment and default models, deal structuring libraries, term structure models, and various behavioral modeling assumptions. In addition to supporting Market Risk, this role also collaborates with other departments such as Credit, Capital Markets, Accounting, and Member Services to ensure effective utilization of model outputs, while designing 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 evaluation 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 innovative thinking to devise solutions for complex modeling issues that existing tools cannot address.
  • Conduct regular back testing, benchmarking, and sensitivity analyses of significant model assumptions, providing guidance and training to others as necessary.
  • Effectively communicate and simplify intricate valuation and modeling concepts for risk information stakeholders at various organizational levels.
  • Assist in the measurement and reporting of risk for valuation and earnings sensitivity as needed.
  • Support the training and development 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, ALM, or Model Development.
  • Preferred designations include CFA, PRM, FRM, or CQF.
  • Extensive knowledge of fixed income and derivative markets, including valuation and risk assessment.
  • Strong understanding of common inputs and assumptions in prepayment and default models for residential mortgage loans.
  • Practical experience with the theoretical concepts underlying common term structure models used in fixed-income analytics, particularly in the mortgage sector.
  • Familiarity with financial accounting principles, especially ASC 326, ASC 815, and ASC 820.
  • Operational proficiency in calculating primary measures of Market Risk.
  • Programming skills in VBA, MATLAB, SAS, Python, or SQL, with at least three years of experience utilizing these tools for data manipulation, analytics, or process automation.
  • Direct experience with PolyPaths, QRM, Empyrean, or other specialized trading and risk management platforms.
  • Experience with Bloomberg Terminal, Bloomberg Data License, or other leading providers of market data and security information.

Candidates 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 also adheres to laws concerning the employment of individuals with disabilities, including reasonable accommodations for applicants and employees with disabilities.

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