Senior Analyst, Structural Market Risk | Chicago, IL

Senior Analyst, Structural Market Risk Final date to receive applications: 11/20/2025 Address: 320 S Canal Street Job Family Group:
Finance & Accounting Supports the research and development of quantitative risk modeling methodologies and related strategies in support of managing structural market risks arising from business/group portfolios and products. Develops and implements models to ensure market risk in banking products are properly measured and support effective risk management practices. Works with internal and external stakeholders to ensure market risks are properly identified and understood with supporting models and strategies successfully implemented.

Area of focus will be bank products with a contractual maturity and embedded optionality.

• Participate in the development and implementation of structural market risk (SMR) models (e.g. valuation of embedded product options, customer behavioral models, Earnings at Risk and economic valuation methodologies, etc.).
• Liaise with lines of business and product owners to develop a full understanding of the terms and conditions of an existing or new product offering, including optionality provided to the customer, and customer behavior related to the optionality.
• Collaborate with other Corporate Treasury teams in the review and design of behavioral models to ensure they can be implemented efficiently in QRM across all relevant use cases (Structural Market Risk, Funds Transfer Pricing (FTP) and Planning/Forecasting).
• Coordinate model implementation and testing among key stakeholders.
• Develop and maintain robust model and non-model assumption documentation.
• Provide robust documentation of testing and impact analyses to Market Risk and Model Risk oversight teams; respond to oversight teams’ review and challenge.
• Conduct and analyze back-testing, stress-testing and benchmarking to ensure the on-going effectiveness of structural market risk models, recommending changes as appropriate.
• Ensure compliance with Bank Policies and Standards regarding financial models.
• Participate in the quantitative development and periodic review of structural market risk non-model assumptions that drive valuation and earnings estimates.
• Participate in projects related to ongoing enhancement and optimization of the structural market risk measurement, reporting and risk management processes, including hedging strategies.
• Prepare analyses and responses to recommended improvements in models and non-model assumptions, as well as related structural market risk processes, from Market Risk, Model Risk, Internal or External Audit and regulators.
• Provide structural market risk advice on FTP policies to ensure appropriate risk-adjusted product pricing on retail and commercial products.
• Develop quantitative analyses and/or processes that support components of the FTP rates and charges passed to the lines of business such as option costs, product prepayment rates and weighted average lives, etc.
• Ensure alignment of assumptions and practices among core elements of Corporate Treasury Asset Liability Management: structural market risk, FTP and hedging strategies.
• Develops and implements analytical solutions, models and methodologies used to manage risks related to the Bank’s portfolios and products (e.g. valuations, hedging strategies, customer behavior models, performance measurement, etc.).
• Monitors the financial market environment and model performance impacts.
• Ensures compliance with model risk and market risk governance.
• Researches industry best practices with respect to structural market risk modeling and methodology.
• Designs and produces regular and ad-hoc reports, and dashboards.
• Analyzes data and information to provide insights and recommendations.
• Works with various data owners to discover and select data from internal and external sources e.g. lending system, deposit system.
• Builds effective relationships with internal/external stakeholders and acts as a trusted advisor to assigned business/group.
• Influences and negotiates to achieve business objectives.
• Participates in the design, implementation and management of core business/group processes.
• Conducts independent…