Responsibilities- Operate and maintain credit risk models for mortgage loan portfolios
- Lead the development and implementation of alternative credit risk strategies
- Build algorithmic solutions and design strategies for model assumption setting and performance monitoring
- Conduct scenario analysis and stress testing to assess portfolio risks under macroeconomic and climate risk scenarios
- Research risk management frameworks to assess environmental and regulatory risk drivers on mortgage portfolios in accordance with regulatory requirements and industry best practices and report to senior management
- Perform credit reviews for member institutions based on financial performance and credit worthiness
- Collaborate with validators, auditors and regulators to improve model accuracy and ensure regulatory compliance
- Optimize business processes through the use of data management and programing tools
- Research, diagnoses and identify solutions to issues on data anomalies and portfolio performance and create dashboards for senior management and risk committees
- Support business on MPF product design with business analytics
Position Requirements- Master's degree in Mathematics, Finance, Quantitative Finance or related field and 2 years of related experience, or, a Bachelor's degree in Mathematics, Finance, Quantitative Finance or related field and 4 years of related experience
- Any amount of experience operating and maintaining credit risk models for mortgage loan portfolios
- Any amount of experience building algorithmic solutions and design strategies for model assumption setting and performance monitoring
- Any amount of experience conducting scenario analysis and stress testing to assess portfolio risks under macroeconomic and climate risk scenarios
- Any amount of experience conducting business analysis using statistics methodology and tools of aggregated data from databases via SQL
Must live within normal commuting distance of worksite. Remote work allowed up to 50 days per year.
Salary range $110,150 to $115,000
Salary Range:$90,400.00 - $150,700.00
The above represents the expected salary range for this job requisition. Ultimately, in determining your pay, we may also consider your experience, and other job-related factors. In addition to the base salary, we offer a comprehensive benefits package which can be found here: https://hrportal.ehr.com/fhlbc
