Federal Home Loan Bank
AVP, Market Risk Modeling & Analytics
Federal Home Loan Bank, Cincinnati, Ohio, United States, 45208
AVP, Market Risk Modeling & Analytics
General Summary:
Directsprojects and processes and provides financial and market risk analytics andassessment in support of financial risk management. Leads and fully participates in the use,development, and maintenance of various market risk models developed withfinancial risk modeling software. Provide subject matter expertise in thedevelopment, use, maintenance and update of models used in market riskanalytics. Actively supports in leading the market risk management function ofrisk oversight and collaboration.
Principal Duties andResponsibilities:Leads development, use, maintenance, and performance monitoring of all of the Bank's market risk related models ensuring all modeling and analytics meets expected standards.Leads model owner responsibilities as per model risk management guidance including but not limited to assessing model conceptual soundness, performance monitoring, and model documentation.Stays apprised of industry best practices on market risk modeling and analytics and initiatives incorporation into the Bank's market risk modeling practices.Leads the design, development, and implementation of new models and new products in market risk modeling such as valuation, risk analysis, and capital adequacy modeling.Initiates and leads complex financial and market risk analytics and projects concerning all facets of financial and market risk modeling, measurement, assessment, and reporting including market risk, capital stress testing, derivatives valuation, mortgage valuation, mortgage prepayment models, and asset liability management models using financial mathematics and theory.Directs model performance monitoring responsibilities such as assessing the 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.Participates in hiring, training, leading, managing and mentoring financial analysts. Consults with senior management on complex or sensitive employee issues.Maintains and promotes positive employee relations.Actively leads 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.Participates in the relationship and operations with Finance Agency examination staff.Minimum Knowledge,Skills and Abilities Required:Master's Degree in a quantitative field such as finance, economics, financial engineering, quantitative finance, or computational finance is required.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 in progressively responsible positions is required.Minimum of 3 years of experience managing and leading modeling and analytics professionals as direct reports is required.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 is required.Strong communication skills, both verbal and written, to research, create, and present reports and analyses is required.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 is required.Advanced Microsoft Office skills (particularly Excel and Word) is required.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. Promotes an environment of empathy and respect. Advocates for diversity at all levels of team members and in the selection of business partners and practices inclusion in all areas of responsibility. Supports D&I events and learning opportunities.
Working Conditions:
Requiresdaily use of personal computer and modeling software. Flexibility to work outside of normal workinghours and meet multiple and changing deadlines in a fast-paced environment. Ability to pay close attention to detail.
General Summary:
Directsprojects and processes and provides financial and market risk analytics andassessment in support of financial risk management. Leads and fully participates in the use,development, and maintenance of various market risk models developed withfinancial risk modeling software. Provide subject matter expertise in thedevelopment, use, maintenance and update of models used in market riskanalytics. Actively supports in leading the market risk management function ofrisk oversight and collaboration.
Principal Duties andResponsibilities:Leads development, use, maintenance, and performance monitoring of all of the Bank's market risk related models ensuring all modeling and analytics meets expected standards.Leads model owner responsibilities as per model risk management guidance including but not limited to assessing model conceptual soundness, performance monitoring, and model documentation.Stays apprised of industry best practices on market risk modeling and analytics and initiatives incorporation into the Bank's market risk modeling practices.Leads the design, development, and implementation of new models and new products in market risk modeling such as valuation, risk analysis, and capital adequacy modeling.Initiates and leads complex financial and market risk analytics and projects concerning all facets of financial and market risk modeling, measurement, assessment, and reporting including market risk, capital stress testing, derivatives valuation, mortgage valuation, mortgage prepayment models, and asset liability management models using financial mathematics and theory.Directs model performance monitoring responsibilities such as assessing the 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.Participates in hiring, training, leading, managing and mentoring financial analysts. Consults with senior management on complex or sensitive employee issues.Maintains and promotes positive employee relations.Actively leads 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.Participates in the relationship and operations with Finance Agency examination staff.Minimum Knowledge,Skills and Abilities Required:Master's Degree in a quantitative field such as finance, economics, financial engineering, quantitative finance, or computational finance is required.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 in progressively responsible positions is required.Minimum of 3 years of experience managing and leading modeling and analytics professionals as direct reports is required.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 is required.Strong communication skills, both verbal and written, to research, create, and present reports and analyses is required.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 is required.Advanced Microsoft Office skills (particularly Excel and Word) is required.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. Promotes an environment of empathy and respect. Advocates for diversity at all levels of team members and in the selection of business partners and practices inclusion in all areas of responsibility. Supports D&I events and learning opportunities.
Working Conditions:
Requiresdaily use of personal computer and modeling software. Flexibility to work outside of normal workinghours and meet multiple and changing deadlines in a fast-paced environment. Ability to pay close attention to detail.