Market Risk Analyst
$75,325–$125,500 year
Hybrid · Chicago, Illinois, United States
Job Summary
Market Risk Analyst at Federal Home Loan Bank of Chicago focused on modeling market risk for residential and commercial mortgage-backed securities, including structure-rate, prepayment, and fair value models. Collaborates with cross-functional teams to perform model evaluation, version upgrades, and risk assessment across derivatives, bonds, mortgages, and investments in line with bank and regulatory guidance. Responsible for the measurement, analysis, monitoring, and reporting of market risk, supporting asset-liability management, and documenting/modeling improvements. Role emphasizes hands-on modeling, model validation, automated reporting enhancements, and interaction with regulators and auditors. Requires a graduate degree in a quantitative field (or equivalent work experience), 0-3 years of experience, strong quantitative and analytical skills, and proficiency in Excel; SQL; and at least one programming language (Python, R, or VBA). Familiarity with fixed income, mortgages, MBS, derivatives, and option pricing, plus exposure to valuation/risk software and strong communication skills. In-office hybrid role in Chicago with remote days allocated periodically.
Required Qualifications
- Graduate degree in financial mathematics, financial engineering, mathematics, economics, or other quantitative or computing fields and/or equivalent work experience
- Basic understanding in fixed income securities or mortgage products
- Proficient in MS Excel and Word
- SQL/Access Database experience
- Solid understanding in fixed income, mortgages, mortgage-backed securities, derivatives, and option pricing models
- Basic understanding in term structure models
- Familiar with at least one programming language, python, R, or VBA is preferred
- Exposure to vendor or in-house software used for security valuation and risk is preferred
- Must quickly develop a comprehensive understanding of the bank’s modeling tools used for valuation and risk measurement
- Excellent verbal and written communication skills
- Able to work effectively under pressure, either independently or as a member of a team
- Must be willing to work with flexibility and dependability - work schedule may include shifts outside the normal business hours
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