Model Risk Analyst II with mortgage experience

About the position The Model Risk Analyst is responsible for validating Bank models including market risk, treasury, liquidity, accounting, credit and/or financial models and supporting the Bank's management of model risk. In addition, the Model Risk Analyst is accountable for generating timely analyses and reports for use by internal management, the Bank's Board of Directors, the Bank's external and internal auditors, the Federal Housing Finance Agency, and the Office of Finance. Model validation entails ensuring that underlying theory is reasonable, inputs and assumptions are comprehensively captured, model results are empirically justified and satisfy applicable regulatory requirements. This position will support the development of a comprehensive list of models and perform validations of new and revised models prior to their use in production, as well as revalidate existing production models as appropriate according to changes in model use and/or market conditions that could adversely affect model legitimacy. Responsibilities include assisting in the diligence associated with procuring and implementing external models and the subsequent presentation of results. The Model Risk Analyst will communicate with business units, senior management, regulators, external auditors, model vendors and model validation staff at other FHLB banks in the system. This opportunity is ideal for someone with 2-3 years of relevant experience. The ideal candidate will be a self-starter with a quantitative background. Solid interpersonal skills, coupled with effective communication techniques, must be demonstrated, along with the ability to meet competing deadlines. This role will have a hybrid work schedule in our Boston office in accordance with the Bank's Hybrid Work Program. Responsibilities • Support the development of the Bank's model inventory and execution of the model validation schedule • Design and conduct test plans, stress tests and scenario analyses to confirm the validity of model calculations and sensitivity to changes in model inputs • Analyze the reasonableness of model methodologies in comparison to standard industry approaches and accepted financial theory • Validate underlying assumptions in relation to standard industry practice, historical experience, and market trends • Develop and maintain technical and model validation documentation describing mathematical models, underlying data and assumptions, and validity of results • Create software used for model validation purposes • Procure, as applicable, vendor and model owner validation and/or quality assurance results as well as external indicators of model output validity • Prepare ad hoc and/or formalized modeling analysis of transaction level risk exposure including, but not limited to, hedge effectiveness, counterparty and collateral sufficiency, and pro forma asset and liability transactions • Provide critical analysis of modeling results and processes for the purposes of internal validation and explaining model risk to model owners and management when necessary • Provide testing and critical analysis of model controls and documentation for purposes of internal validation and assessing the Bank's model risk exposure • Submit all reports requested by the appropriate external and internal parties on a timely basis, in the appropriate format, in consultation with, and after review by, Director Model Validation • Provide quantitative and analytical support to senior analysts and functional management • Monitor, track and support the resolution of model validation recommendations and issues • Research and monitor the evolution of standard industry practice with respect to assigned types of financial models • Other duties, as assigned Requirements • Solid knowledge and understanding of fixed income principles and instruments, including mortgage-backed securities, interest rate derivatives, prepayment projection, credit loss models and stress testing • Solid knowledge of statistics and mathematics must be demonstrated with a working knowledge of risk management practices • Knowledge of finance and accounting principles • Must be able to work both independently and as part of a team • Proficient in the use of MS/VBA, SQL queries, and MATLAB, R or Python for financial reporting, analysis, and graphing • Proficient in the use of MS/Word for model validation report writing Nice-to-haves • Advanced degree in a quantitative discipline or CFA is a plus • Experience with at least one of the following: Bloomberg, Yield Book, Principia, IntexDesktop, S&P LEVELS, Moody's Portfolio Analyzer, Loan Performance Risk Model, MATLAB, PolyPaths will be a plus Benefits • Opportunities for career development • Robust benefits • Work-life balance Apply tot his job