The Federal Home Loan Bank of Indianapolis has an exciting opportunity for a highly motivated individual to join our Analytics team. The Quantitative Modeling & Research Analyst II is responsible for the development and maintenance of several financial models used across the organization. The role resides in the Analytics department, which is a cross-functional-research modeling team within FHLBank that focuses on applying advanced quantitative methods to solve a wide variety of challenging problems across multiple business areas. Examples of past and current projects include the development or implementation of models related to: Probability of Default for Depositories and Credit Unions; Credit Value at Risk, Whole Loan Residential and Commercial Mortgage Valuation, Mortgage Prepayment/Default Modeling and Portfolio Funding Tools.
Through these responsibilities, the Analytics department works closely with several lines of business, Information Technology, Model Risk Management, and Internal Audit, among others.
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.
- With high degree of independence, implements, tests and operates a diverse range of models for subjects such as valuation, risk exposure and return, required collateral maintenance as well as other enterprise needed developments. Utilizes sophisticated quantitative financial modeling, statistical techniques and computational skills to test, evaluate and manage various credit and market risk models across diverse loan and security portfolios.
- Uses quantitative tools and techniques to measure and analyze model risks and reaches conclusions on strengths and limitations of the models as well as research to support model settings and assumptions for the desired business purpose.
- Researches and apply quantitative techniques from fields such as statistics/econometrics, applied mathematics, and other data science applications toward the solution of important business problems from many modeling needs.
- Performs quantitative analysis and develops complex reports. Performs qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity utilizing techniques such as optimization, sampling testing, etc. Analyzes complex data and associated quantitative analysis. Makes recommendations based on continue research and testing of modeling suites.
- Stays current with technical enhancements, methodologies, statistical, mathematical and analytical/computational techniques and trends related to model management and development. Researches, understand, and implement next-generation analytical capabilities to Modeling-Analytics core functions to support: model construction understanding, regulatory testing, lines of business needs and model validation requirements such as model performance tracking methodologies and resolution of model validation findings.
- Solves and assists within technical troubleshooting issues in coordination with IT and business lines for matters related to modeling estimations and maintenance such as: input testing, model actual workflow and interconnection with multiple bank’s data repositories, output, reporting, etc. In that regard, is capable of researching and understanding modeling needs related to data storage or intensive computing driven by model settings, assumptions or business/theoretical needs.
- Researches and develops internal model libraries to be used independently or as complementary to support other models used across the organization.
- Is comfortable explaining highly technical details related to model construction and settings to users and the support team across the organization on continue basis.
- Participates in the in-house development on top of tuning/assessment of models as needed.
- Interacts directly with model validators with regard to model settings and assumptions specifications as well as needs defined by the regulatory and internal policies framework.
- Writes effective documentation of model development and settings to meet standards set by the Model Risk Management Group, as well as regulatory (FHFA) modeling Advisory Bulletins.
- Deliverables include the creation of model developmental documentation, methodological testing: presentations, written reports, model or reporting code documentation.
- Leads the process to develop required model enhancements and coordinates any changes with production integration teams. Responsible for maintaining ongoing reporting pertaining to models in production including model change approvals, validation recommendations, MRAs, etc.
- Master's degree in Mathematics, Quantitative Analysis, Statistics, Operations Research, Financial Engineering or any other quantitative field ideally with a minor in Computer Science. Or Finance/Economics Master with undergraduate in Mathematics/ Statistics/ Quantitative/Engineering ideally with Computer Science course load.
- 2+ years of experience (could include time as a research assistant while doing graduate studies) doing quantitative research in any of the following areas: quantitative finance, applied mathematics: optimization / mathematical programming, econometrics, statistics: time series analysis, Bayesian methods, machine / deep learning.
- 2+ years of experience in at least one of the following languages: Python, R, Scala, MATLAB, Java, C/C++/C#, SAS, Stata, SPSS, additional to VBA.
- Ideally 2+ years of experience with Asset/Liability and valuations software/models such as Polypaths, QRM, ZMDesk, Principia, etc. Hence good understanding of fixed income principles, including mortgage-backed securities and derivatives is a significant plus.
- Experience with database management concepts and tools: SQL or Oracle.
- Knowledge of Numerical Analysis is a plus.
- Knowledge of Optimization Algorithms is a plus.
- Advanced analytical skills necessary to develop complex financial, quantitative and market risk reports and analyses.
- Strong ability to identify potential concerns, analyze and solve problems; ability to work effectively and independently to resolve such issues.
- Significant amount of attention to detail and flexibility to support management and regulatory reporting.
- Works well with others yet willing to offer a point of view that may be contrary to conventional wisdom.
- Strong organizational skills with attention to detail.
- Ability to multi-task and high degree of initiative and independence.
- Verbal, written, and interpersonal skills to communicate effectively with all levels of bank personnel.
- Must not have been convicted on any civil or criminal charge that would suggest a risk to bank security.
- Ability to work full time.
The Federal Home Loan Bank is an Equal Opportunity Employer.