Job Information
Federal Home Loan Bank of Pittsburgh Risk Modeling Analyst in Pittsburgh, Pennsylvania
Reference #: R311 Position Summary The Risk Modeling Analyst supports the market risk measurement and reporting function by maintaining responsibility for the technical underpinnings of the Market Risk department's analytical systems. This includes integration and testing of third-party prepayment and default models, deal structuring libraries (Intex), term structure models, and other behavioral modeling assumptions. In addition to Market Risk, the Risk Modeling Analyst supports other departments including Credit, Capital Markets, Accounting, and Member Services in their use of model output, and designs appropriate assumptions and operational workflows specific to their use cases.
Primary Success Factors
Design operational workflows and appropriate assumptions for the various use cases of valuation and risk models throughout the Bank.
Serve as a lead in the implementation and testing of new valuation and simulation models and upgrades to existing analytical tools, marshalling additional resources throughout the Bank as necessary.
Demonstrate initiative in identifying, researching, and addressing modeling issues driven by changing market conditions and business/hedging strategy.
Apply judgement, experience, and creativity in developing solutions to modeling challenges that are not easily addressed by existing tools.
Perform periodic back testing, benchmarking, and sensitivity analysis of material model assumptions, guiding and training the work of others in this regard as appropriate and necessary.
Communicate and summarize complicated valuation and modeling concepts to risk information consumers at varying levels of the organization.
Assisting in the risk measurement and reporting functions for valuation and earnings sensitivity when needed.
Help train and mentor junior analysts in the Market Risk, Capital Markets, and COR Departments in the uses and limitations of the market risk models in the Bank.
Required Experience
Bachelor's degree in mathematics, finance, statistics, economics, or other quantitative discipline; Master's degree or other advanced degrees preferred
Minimum of seven years' experience in Market Risk Management, Collateral Valuation, ALM, or Model
CFA, PRM, FRM, or CQF designations preferred
Comprehensive knowledge of fixed income and derivative markets including valuation and risk.
Sound understanding of the common inputs and assumptions in prepay and default models for residential mortgage loans (both single family and multi-family).
Practical experience using and understanding the theoretical concepts behind the common term structure models used in fixed-income analytics, particularly mortgages.
Familiarity with financial accounting concepts, particularly ASC 326, ASC815, and ASC820.
Operational fluency in the calculation of the Bank's primary measures of Market Risk.
Programming skills in VBA, MATLAB, SAS, Python, or SQL and 3+ years' experience using these tools to manipulate data, perform analytics, or automate operations.
Direct and recent experience with PolyPaths, QRM, Empyrean, or other dedicated trading and risk platforms.
Experience with Bloomberg Terminal, Bloomberg Data License, or other Tier 1 providers of market data, reference data, and security indicatives.
Candidates with a Bachelor's degree and minimum of five years of relevant experience, who demonstrate knowledge in the following areas will be considered for an alternative level role:
Fixed income and derivative markets including valuation and risk
Common inputs and assumptions in prepay and default models for residential mortgage loans
Theoretical concepts behind the common term structure models used in fixed-income analytics, particularly mortgages
Familiarity with financial accounting concepts (ASC326, ASC815, ASC820)
Programming skills (VBA, MATLAB, SAS, Python, or SQL)
Bloomberg Terminal, Bloomberg Data License, or other Tier 1 providers of market data, reference data, and security indicatives.
It is the policy of the Federal Home Loan Bank of Pittsburgh to ensure equal employment opportunity (EEO) for all employees and applicants for employment without regard to race, religion, color, sex, national origin, age, disability status, genetic information, veteran's status, ancestry, sexual orientation or status as a parent as defined by applicable law. It is the Bank's policy to comply with applicable laws concerning the employment of persons with disabilities, including reasonable accommodation for applicants and employees with disabilities.