Senior Model Validation and Assurance Analyst

Job Description

This position supports the FHLBank's model risk management program by performing and completing the following primary activities including but not limited to: (1) independently leading or driving end-to-end validations of complex quantitative financial models across market risk and asset-liability management (ALM) domains; (2) managing and overseeing model validations performed by third-party consultants; (3) designing and evaluating framework and/or methods for monitoring the performance of quantitative financial models and thresholds established to identify when models perform outside of expectations;

(4) evaluating the significance of proposed model changes (both quantitatively and qualitatively); (5) reviewing the underlying theory, calculations, formulas, logic, structure and/or source of input data of complex end user applications (EUA), such as Microsoft Excel spreadsheets, Python code and other scripting languages, to ensure EUAs are properly designed and operate as intended; and (6) communicating model validation findings to model stake holders including model owners, users and Model Risk Management Committee (MRMC).