The Quantitative Analyst enhances the Seattle Bank’s market risk management processes by providing analytical support for financial risk modeling and performing daily risk monitoring functions and other regular market risk reporting functions. This position prepares interest rate risk reports and market input analysis complying with applicable policies and regulations. The Analyst monitors and evaluates price movement of the bank’s assets and liabilities, as they relate to the capital market. This position reviews prospectus and performs risk analytics and monitoring of new investment securities and mortgage loan products, including the evaluation and back-testing of prepayment and default models. In addition, this role performs ad hoc financial and risk analysis as required.
- Contributes to an effective Market Risk process by collecting, maintaining, and managing financial and transactional data used in the bank’s market risk models. This includes running applications and evaluating prices obtained from external pricing vendors and internal models. The Quantitative Analyst is required to develop the expertise needed to perform these processes independently, evaluate the reasonableness of the results and provide insightful analysis on valuation and risk metrics.
- Contributes to an effective market risk process by maintaining the bank’s risk management models, including the development of tools and documentation of modeling methodologies, procedures and assumptions.
- Extracts data from various production platforms within the bank and combines such data with market and historical information to be for reporting and analysis.
- Builds efficient and appropriately controlled processes for loading data and assumptions into risk management models and ensures the quality and integrity of data used in financial modeling is sound by performing robust validation procedures.
- Performs analytics on mortgage related products including prepayment model back-testing, evaluates version upgrades of vendor models and presents recommendations to the Market Risk Subcommittee.
- Assists in the development of valuation methods of new products/enhancements with embedded derivatives, including the development of stress scenarios and VaR methodologies. Provide ad hoc risk analysis including cash flow modeling, prepayment analysis and scenario analysis.
- Reviews prospectus and performs risk analytics and monitoring of investment securities.
- Contributes to the integrity of the bank’s financial disclosures by preparing valuation of financial instruments according to applicable policies and regulations. Evaluates, documents, and tests risk management procedures and controls for compliance with the Sarbanes Oxley Act.
- Contributes to the efficiency of the Market Risk Group (MRG) by participating in cross training and serving as position backups for other MRG team members.
Candidates who are selected for in-person interviews will be required to provide a sample research report and to complete a written test within a specified time period.
- Masters degree in Finance, Mathematics, Statistics, Engineering or related field required. CFA or FRM preferred.
- Candidate must have a minimum of 5 years experience in technical position preferably within finance, accounting, or risk management with a demonstrated ability to organize, analyze and present complex financial data.
- A working knowledge of fixed income securities and derivatives or experience using risk management or financial modeling software is required.
- Prior knowledge and understanding of term structure models, mortgage prepayment models, portfolio attribution, and option pricing is required.
- Candidate must demonstrate strong quantitative analytical skill with the ability to grasp fixed income mathematics and stochastic processes and simulation analysis.
- Proficiency with Microsoft Excel is required. VBA or other programming skill is preferred. Familiarity with Bloomberg, Reuters, or similar market data services is required. Must be able to use or learn in a short time period SQL or other query tools to construct database queries.
- Strong analytical, organizational, computer, and time management skills with the ability to function effectively under tight deadlines. Ability to develop a wide variety of new skills and apply his/her analytical abilities in a team environment.
- Self-starter who is able to identify problems and design and implement their solutions.
We offer a competitive compensation package, including competitive
wages, comprehensive health benefits, three weeks vacation, 401K, a business casual
environment as well as other benefits. Qualified candidates should direct resume
and cover letter to:
Recruiter1, Federal Home Loan Bank of Seattle
1001 Fourth Avenue, Suite 2600
Seattle, Washington 98154
Or Email: firstname.lastname@example.org .
No phone calls, please. The Federal Home Loan Bank values diversity in the workforce
and is an equal opportunity employer. Women and Minorities are encouraged to apply.