What are the responsibilities and job description for the Sr. Quantitative Risk Analyst position at Federal Home Loan Bank?
Sr. Quantitative Risk Analyst
General Summary :
Providesadvanced level of creditrisk analytics and assessment in support of credit risk management. Leads andfully participates in the use, development, and maintenance of various creditrisk models including but not limited to counterparty credit ratings models,whole loan credit stress testing and valuation models, and mortgage creditdefault and loss models. Performs quantitativeanalyses, modeling, and research in support of monitoring, assessing,reporting, and collaborating on credit risk management and analytics. Provides advanced-level analysisin support of recommendations and management information related to in thedevelopment, use, maintenance, and update of models used in credit riskanalytics.
Principal Duties and Responsibilities :
- Initiates, develops, implements, monitors, and maintains the Bank's credit risk related models ensuring all modeling and analytics meets expected standards.
- Responsible for assessing model risk through evaluation and maintenance of model conceptual soundness, performance monitoring, and model documentation for all credit models related to mortgage risk analytics and counterparty credit risk management.
- Researches, implements,and presents regular and ad-hoc market environment update and impact on credit risk models and analytics.
- Initiates and actively supports efforts to develop, build consensus, apply and maintain the enterprise risk management function and program, especially related to credit risk modeling and analytics.
- Effectively communicate model concepts and results to internal management and external regulators.
Minimum Knowledge,Skills And Abilities Required :
Working Conditions :
Requiresdaily use of personal computer and modeling software. Flexibility to work outside normal workinghours and meet multiple and changing deadlines in a fast-pacedenvironment. Ability to pay close attentionto detail since errors could result in significant monetary loss to theorganization.