Model Risk Analyst II

Is it a Bank? A cooperative? A leader in affordable housing? We are all those things and more!

Our core mission at FHLBank Indianapolis is to provide reliable and readily available liquidity to our member institutions to support housing finance and community development. Simply put, we’re a bank for banks, credit unions, community development financial institutions and insurers across Indiana and Michigan. We also assist in meeting the economic and housing needs of communities and families through grants and subsidized advances that support affordable housing and economic development.

But enough about us, let’s talk about you.

Are you looking for a company that views their employees as their greatest asset?

A company that’s dedicated to making a difference in the community? So much so they pay their employees to volunteer?

Do you want to join a talented workforce that prioritizes equal opportunity within an inclusive culture, and promotes learning and development, unique skills/ideas, and employee engagement?

If you’ve said yes to these questions, then we might be a match!

Here is what we offer:

• Flexible hybrid workforce model: Onsite three days a week and two days remote. We also offer remote flex days!

• Fantastic, competitive pay and total rewards

• Industry-high 401(k) match: up to 6% PLUS…an additional 4% contribution!

• Tuition reimbursement assistance: To help you continue to develop personally and professionally.

• Student loan repayment assistance: That’s right, we will help you repay outstanding student loans!

• Awesome Benefits Package: Medical, dental, vision benefits and even pet (you read that right) insurance!

• Generous time off: Vacation, paid federal holidays, birthday month floating holiday, volunteer day and summer hours program

• “Dress for your day” dress code: You choose the appropriate work attire based on what your day looks like.

Statistics show that it is less likely for some candidates to submit their application if they don't meet all the criteria within the job description. If this is you, we encourage you to give yourself a chance and submit your application anyway, as you may be the perfect match for this role!  ​

Purpose:

The Model Risk Analyst II will play a key role in assessing the Bank’s model risk through model validations, risk reviews, and ongoing analysis. As a member of Enterprise Risk Management (ERM), the Analyst will work under the Director of Model Risk Management and Validation to validate financial models throughout the Bank in order to assess model reasonableness, weaknesses, and risks. The Analyst will interact with model owners and model users across the Bank to understand current model performance, development activities, and emerging risks.

The following statements are intended to describe the general nature and level of work being performed by persons assigned to the job. They are not intended to be an exhaustive list of all responsibilities or abilities required of persons so classified. The Bank reserves the right to alter or amend this description at any time.

Specific 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.

• Assist in other model risk management activities such as maintaining the Bank’s model inventory, planning the model validation schedule, tracking outstanding model validation findings, and generating periodic model risk-related reports to relevant committees and stakeholders.

• Conduct research and analysis to maintain knowledge of modeling best practices, model validation techniques, and current financial market information.

• Understand and interpret current regulatory guidance (specifically FHFA’s Model Risk Management Advisory Bulletins 2013-07 and 2022-03) and apply regulations in assessing Bank models.

Competencies:

Business

• Project Management

General

• Dependability

• Productivity

People

• Accountability and Drive for Results

• Collaboration and Communication

Position Requirements:

• Advanced degree with a concentration in Computational/Quantitative Finance, Statistics, Mathematics, Computer Science, Economics, or some other quantitative discipline.

• Work/internship experience is desirable.

• 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.

• 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.

• 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.

• Ability to work full-time.

• Ability to uphold and model the Bank’s Guiding Principles.

Hiring Range: $82,000 - $97,000

Hiring ranges reflect the base salary that the Bank reasonably expects to pay for a given role and is not inclusive of annual incentive award opportunities, retirement benefits or the value of other health and welfare or other ancillary benefits. We consider many factors when determining base salaries such as individual background and experience, the competitive environment, education, particular skill set(s), and industry and institutional knowledge.

FHLBank Indianapolis is an Equal Opportunity Employer.