Perform analysis and support of Bank’s pricing and valuations of complex derivatives, debt obligations, and loans for purposes of sensitivity analysis and risk management. Support analysis and reporting of financial activities and risk positions. Work independently and in a team environment to support these activities.
Major Accountabilities :
- Perform pricing and valuations of both simple and complex structured fixed income and derivatives products.
- Perform code review, maintenance, and enhancement; improve code quality and reuse. Institute a library and code management for financial applications.
- Aid in developing prototype pricing models and valuation systems.
- Develop and enhance the Bank’s analytic risk measurement systems and risk management framework.
- Develop and produce reports and presentation materials to communicate financial performance and financial risk for internal and external audiences.
- Participate in the development of financial strategies, hedging strategies, and funding strategies.
- Provide other analysis as needed.
- Bachelor’s Degree in Finance, Economics, Financial Engineering, a related technical/quantitative field or equivalent work experience. Master’s designation preferred.
- Minimum of five years in a bank treasury department and/or direct experience in fixed income derivatives, asset/liability management, and fixed income valuation.
- Minimum of five years demonstrated experience working directly with fixed income instruments, especially instruments that contain embedded options. Strong quantitative skills.
- Expertise in the use of spreadsheet and database software (Excel, Access).
- Must be able to program using VBA, SQL.
- Able to use and develop Bank proprietary or vendor models related to pricing/cost of funds/valuations. Experience with Numerix, Calypso, and Bloomberg preferred.
- Hands-on ability to perform code review, maintenance, and enhancement. Ability to institute a library and code management for financial applications.
- Excellent verbal and written communication skills. Strong analytical and problem-solving skills required.
- Demonstrated ability to successfully lead projects to completion.
- Self-starter with the ability to work effectively both independently and as a team member.
The Federal Home Loan Bank of San Francisco is an Equal Employment Opportunity employer and is committed to a diverse workforce. We value and actively seek to recruit, develop, and retain individuals with varied backgrounds and experiences reflecting the full diversity of the communities that we serve. It is the policy of the Bank to comply with all applicable laws concerning the employment of persons with disabilities.
FHLBank San Francisco - 18 months ago