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Federal Home Loan Bank of Indianapolis (FHLBI) · 1 month ago

Senior Model Risk Analyst or Model Risk Lead

Indianapolis, IN

Full-time

Hybrid

Senior Level, Lead/Staff

$91K/yr - $107K/yr

1+ years exp

Federal Home Loan Bank of Indianapolis (FHLBI) is a cooperative that provides liquidity to member institutions to support housing finance and community development. The Senior Model Risk Analyst will assess the Bank’s model risk through validations and ongoing analysis, interacting with model owners and users to ensure model performance and compliance.

BankingFinancial ServicesInsuranceVenture Capital

Comp. & Benefits

H1B Sponsor Likely

Responsibilities

Perform model validations for various types of financial models, including credit risk, interest rate derivative valuation, mortgage prepayment/default, and asset-liability management models. This will include performing quantitative analyses and tests, assessing model theory, backtesting, benchmarking, stress testing, scenario analysis, and assessing the effectiveness and sufficiency of model controls and documentation

Generate validation reports or memos detailing the validation approach, analyses conducted, and conclusion of the validation. Present findings and recommendations to model owners/users

Review model changes, assess model change significance, and conduct limited-scope validations for model changes as necessary

Develop benchmarking models and data analytical tools, including machine learning models for validation and model performance monitoring purposes

Provide independent opinions on various modeling and model validation issues

Manage third-party model validation

Participate in audit and regulatory exams and assist in the remediation of audit and regulatory exam findings

Perform annual and ad-hoc model reviews and quarterly model performance reviews

Assist in other model risk management activities, such as maintaining the Bank’s model inventory, tracking outstanding model validation findings, and generating periodic model risk-related reports for relevant committees and stakeholders

Conduct research and analysis to maintain knowledge of modeling best practices, model validation techniques, and current financial market information

Qualification

Model validationQuantitative analysisFinancial modelingProgramming (Python)Machine learningFixed-income analyticsCredit risk modelsStatistical analysisDependabilityProject managementCommunication skillsCollaboration

Required

Advanced degree with a concentration in Computational/Quantitative Finance, Statistics, Mathematics, Computer Science, Economics, or some other quantitative discipline

At least one years' experience (Senior Model Risk Analyst) or three years' experience (Model Risk Lead) working in a related field, such as model risk management, predictive modeling, financial modeling, optimization, and data science, is required

Understanding of financial market concepts and fixed-income instruments, including mortgages and MBS, interest rate derivatives, fixed-income analytics and risk metrics, prepayment forecasts, interest rate modeling, probability of default and credit loss modeling, and stress testing

Understanding of time series analysis, principal component analysis, optimization, logistic regression, and Monte Carlo simulation

For the Model Risk Lead title, expert knowledge and skills in at least one of the following areas are required: Fixed-income analytics, Mortgage valuation, Credit risk models

High proficiency with at least one of the programming languages, such as Python, R, Julia, and/or MATLAB, is required

Must have a high level of proficiency with Microsoft Office applications (Excel, Word, PowerPoint, Outlook)

Strong written and oral communication skills required

Must be able to think critically and independently, be highly self-motivated, and be able to multitask and manage competing priorities

Ability to work full-time

Ability to uphold and model the Bank's Guiding Principles

Preferred

Ph.D. desirable

Experience with mortgage models such as AD&Co, Black Knight, Moody's Mortgage Portfolio Analyzer, and/or Intex is highly desirable

Hands-on experience with machine learning/artificial intelligence models is highly desirable

Hands-on experience with valuation tools/libraries such as PolyPaths, QRM, Calypso, Yieldbook, FINCAD, and/or Numerix is desirable

Experience with PowerBI is desirable

Understanding of current regulatory guidance on model risk management, including FHFA's AB 2013-07 and AB 2022-03, OCC Bulletin 2011-12, or FRB SR 11-17, desirable

Benefits

Flexible hybrid workforce model: Onsite three days a week and two days remote. We also offer remote flex days!

Fantastic, competitive pay and total rewards

Industry-high 401(k) match: up to 6% PLUS…an additional 4% contribution!

Tuition reimbursement assistance: To help you continue to develop personally and professionally.

Student loan repayment assistance: That’s right, we will help you repay outstanding student loans!

Awesome Benefits Package: Medical, dental, vision benefits and even pet (you read that right) insurance!

Generous time off: Vacation, paid federal holidays, birthday month floating holiday, volunteer day and summer hours program

“Dress for your day” dress code: You choose the appropriate work attire based on what your day looks like.

Company

Federal Home Loan Bank of Indianapolis (FHLBI)

The Federal Home Loan Bank of Indianapolis (FHLBank Indianapolis) is one of 11 independent regional cooperative banks across the U.S.

Founded in 1932

Indianapolis, Indiana, USA

201-500 employees

https://www.fhlbi.com

H1B Sponsorship

Federal Home Loan Bank of Indianapolis (FHLBI) has a track record of offering H1B sponsorships. Please note that this does not guarantee sponsorship for this specific role. Below presents additional info for your reference. (Data Powered by US Department of Labor)

Distribution of Different Job Fields Receiving Sponsorship

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Trends of Total Sponsorships

2025 (5)

2024 (6)

2023 (9)

2022 (7)

2021 (4)

2020 (5)