Senior Model Risk Analyst or Model Risk Lead

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 incumbent 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 incumbent 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 incumbent will interact with model owners and model users across the Bank to understand current model performance, development activities, and emerging risks. Job title (Senior Model Risk Analyst or Model Risk Lead) and compensation will be commensurate with relevant experience and skillset.

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:

• Perform 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, scenario analysis, and assessing the effectiveness and sufficiency of model controls and documentation.

• Generate validation reports or memos detailing the validation approach, analyses conducted, and conclusion of the validation. Present findings and recommendations to model owners/users.

• Review model changes, assess model change significance, and conduct limited-scope validations for model changes as necessary.

• Develop 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.

• Manage third-party model validation.

• Participate in audit and regulatory exams and assist in the remediation of audit and regulatory exam findings.

• Perform 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, tracking outstanding model validation findings, and generating periodic model risk-related reports for relevant committees and stakeholders.

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

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. Ph.D. desirable.

• At least one years' experience (Senior Model Risk Analyst) or three years’ experience (Model Risk Lead) working in a related field, such as model risk management, predictive modeling, financial modeling, optimization, and data science, is required.

• 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 time series analysis, principal component analysis, optimization, logistic regression, and Monte Carlo simulation.

• For the Model Risk Lead title, expert knowledge and skills in at least one of the following areas are required:

-Fixed-income analytics: discounted cash flow models, interest rate modeling, bond and interest rate derivatives valuation, stochastic processes, Monte Carlo simulation, and asset-liability management;

-Mortgage valuation: MBS/CMO valuation, whole loan mortgage valuation, prepayment modeling, mortgage default modeling. Experience with mortgage models such as AD&Co, Black Knight, Moody’s Mortgage Portfolio Analyzer, and/or Intex is highly desirable;

-Credit risk models: PD/LGD models, credit rating models, collateral haircut models, and stress testing models.

• High proficiency with at least one of the programming languages, such as Python, R, Julia, and/or MATLAB, is required. Python proficiency 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. Must be able to write 100+ page model validation reports efficiently, clearly/concisely explain highly technical information to non-technical audiences, maintain relationships with model owners and users, and interact with senior management.

• Must be able to think critically and independently, be highly self-motivated, and be able to multitask and manage competing priorities.

• 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: $91,000 - $107,000 (Senior Model Risk Analyst);

$110,000 - $130,000 (Model Risk Lead)

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.