FHLBank Indianapolis needs to assess the Bank's model risk through model validations, risk reviews, and ongoing analysis to ensure the reasonableness, identify weaknesses, and mitigate risks associated with financial models.
Requirements
- Understanding of financial market concepts and fixed-income instruments, including mortgages and MBS, interest rate derivatives, fixed-income analytics and risk metrics, prepayment forecasts, interest rate modeling, probability of default and credit loss modeling, and stress testing.
- Understanding of stochastic processes, time series analysis, principal component analysis, optimization, logistic regression, Monte Carlo simulation.
- Proficiency with at least one of the programming languages such as Python, R, Julia, or MATLAB is required. Python is strongly preferred.
- Hands-on experience with machine learning/artificial intelligence models is highly desirable.
- Hands-on experience with valuation tools/libraries such as PolyPaths, QRM, Calypso, Yieldbook, FINCAD, and/or Numerix is desirable.
- Must have a high level of proficiency with Microsoft Office applications (Excel, Word, PowerPoint, Outlook). Experience with PowerBI is desirable.
- Understanding of current regulatory guidance on model risk management, including FHFA’s AB 2013-07 and AB 2022-03, OCC Bulletin 2011-12, or FRB SR 11-17, desirable.
Responsibilities
- Participate in model validations for various types of financial models, including credit risk, interest rate derivative valuation, mortgage prepayment/default, and asset-liability management models. This will include performing quantitative analyses and tests, assessing model theory, backtesting, benchmarking, stress testing, and assessing the effectiveness and sufficiency of model controls and documentation.
- Participate in writing validation reports or memos detailing the validation approach, analyses conducted, and conclusion of the validation. Present findings and recommendations to model owners/users.
- Participate in the development of benchmarking models and data analytical tools, including machine learning models for validation and model performance monitoring purposes.
- Provide independent opinions on various modeling and model validation issues. Recommend required action plans to model owners/developers.
- Assist in third-party model validation.
- Participate in remediation of audit and regulatory findings.
- Participate in annual and ad-hoc model reviews and quarterly model performance reviews.
Other
- Advanced degree with a concentration in Computational/Quantitative Finance, Statistics, Mathematics, Computer Science, Economics, or some other quantitative discipline.
- Work/internship experience is desirable.
- Strong written and oral communication skills required. Ability to write clear technical reports and memos. Must be able to communicate and maintain relationships with model owners/users and other stakeholders and interact effectively with management.
- Ability to work full-time.
- Ability to uphold and model the Bank’s Guiding Principles.
