Quantitative Rotational Analyst

At the Federal Home Loan Bank of Chicago, employees come first - that’s why we offer a highly competitive compensation and bonus package, and access to a comprehensive benefits program designed to meet the needs of our employees.

Collaborative, in-office operating model

Retirement program (401k and Pension)
Medical, dental and vision insurance

Lifestyle Spending Account Competitive PTO plan
11 paid holidays per year Through the Federal Home Loan Bank of Chicago’s Quantitative Rotational Program, we are looking to attract, develop and retain high-achieving and driven employees to build a strong pipeline within our Risk Management and Treasury functions. The program is a 2-year rotational program consisting of four, 6-month rotations across various quantitative departments within FHLBank Chicago, such as Market Risk, Model Risk, Credit, and Treasury.

Throughout the two-year program, quantitative rotational analysts are expected to gain a deep understanding of how we support our customers through the products and services the cooperative offers. This program seeks to accelerate development through structured rotational assignments, on-the-job learning, and supplemental training. In addition to on-the-job experience, participants receive Executive-level mentorship along with networking and development opportunities.

Upon successful completion of the program, analysts will have the opportunity to be placed in a permanent position at FHLBank Chicago based on employee interests and business needs.

Duties and Responsibilities:

Market Risk Responsible for developing and/or utilizing tools to analyze, monitor and create reports/processes to measure risk for the bank.

Lead in interest rate model and prepayment model monitoring by back-testing and benchmarking.

Perform independent analysis or research on issues and make recommendations to management for solution.

Automate existing process to increase efficiency.

Identify process gap and add controls where applicable.

Provide support for inquiries from other departments related to fair value for all on balance sheet instruments, including MBS, CMO, callable bonds and interest. rate derivatives, such as swaps, caps and floors.

New report development to provide insight on the Bank’s market risk exposure.

Model Risk Obtain basic understanding of the model development life cycle and industry best practices.

Support different aspects of the validation process (e.g., data verification, modeling theory, benchmarking, back testing, and reporting, emerging risks).Increase modeling process knowledge by working with model owners and users.

Markets Credit Perform analytics and risk assessment on a large residential & commercial whole loan portfolio through the use of cash flow modeling, examination of loan level characteristics and risk structures.

Assist and maintain the valuation framework and procedures around the collateral pledged to the Bank including benchmark studies, asset level loss analysis and the setting of asset specific haircuts.

Lean and aid in development of forward-looking analytics around fixed income securities and the mortgage market.

Extract, transform and load data into various reporting and analysis formats for utilization.

Create and design new reports, automating processes and reports that were previously manually prepared (such as valuation summaries)
Conducts ad hoc analysis as directed by management and provide support to area of expertise on various projects

Capital Markets Assist in the development of strategies related to liquidity, funding, hedging and asset acquisition.

Participate in the daily pricing process for the Mortgage Partnership Finance  cash window

Perform pre-trade analysis and research on MBS/CMOs for investment book Design, develop,…