The Federal Home Loan Bank of Indianapolis has an excellent job opportunity for a Senior Treasury Risk Analyst to assist in providing Bank management market risk analytics to support decision making. You would provide the analytics by conducting analyses with a focus on the Bank's mortgage portfolios to quantify such risks and reporting results in concise and actionable metrics.
· Provide risk metrics and performance measures on a portfolio and balance sheet level, with particular emphasis on mortgage-related risks.
· Assist in designing, developing and enhancing the market risk systems and mortgage prepayment models used to provide risk analytics, including testing and implementing version updates.
· Develop and produce risk analysis reports that assist management in portfolio management.
· Conduct ad-hoc analyses of specific investing, funding and/or hedging actions (with an emphasis on mortgage-backed securities) from a market risk and income perspective.
· Occasionally present risk analyses to senior management.
· Monitor the accuracy of our mortgage prepayment assumptions, test and implement modified assumptions as needed.
· Provide analysis related to dividend and earnings retention strategies.
· Perform other ad-hoc analyses in a timely manner and present findings in a concise manner.
· Maintain an in-depth knowledge of fixed income valuation principles, mortgage prepayment modeling and option-pricing theory.
· Attend conferences to expand knowledge base in the mortgage-backed securities industry.
· Bachelor’s degree in business administration, finance, accounting, science or other related field. Advance degree in the above fields preferred.
· Professional certifications, such as CFA, FRM or PRM, preferred.
· Minimum of three years’ experience at a financial institution in a financial analysis, risk management or fixed income portfolio management role. Five years’ experience preferred.
· Knowledge of fixed income and derivative valuation, and mortgage prepayment modeling.
· Experience with prepayment and default models, such as AD&Co or AFT.
· Experience with trading or risk management systems, such as QRM or PolyPaths.
· Strong analytical and quantitative skills.
· High level of proficiency with end-user computer applications such as Excel, Access, etc.
· Excellent oral and written communication skills with the ability to convey complex topics to senior management in a clear and concise manner.
· Ability to undertake complex assignments with minimal direction.
The focus of this job is on producing high quality, detailed work based on established standards, guidelines and procedures. Precise, consistent work output is essential.
Federal Home Loan Bank of Indianapolis - 20 months ago
Federal Home Loan Bank of Indianapolis (the Bank) provides funds to its members. All federally-insured depository institutions, community...