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Market Value Risk Analysis, Sr. Assoc.

Company: FHLBank San Francisco
Location: Sacramento
Posted on: September 22, 2022

Job Description:

Job Description:The Federal Home Loan Bank of San Francisco (the "Bank") is a cooperative, wholesale bank that provides liquidity to its members and helps meet community credit needs by providing credit products and services to member financial institutions through all phases of the economic cycle. The Bank's members include commercial banks, credit unions, industrial loan companies, savings institutions, insurance companies, and community development financial institutions headquartered in Arizona, California, and Nevada. The Bank is member focused; embraces accountabilityto meet commitments and uphold our governance, risk and control standards as a government sponsored enterprise; and values differences to foster an inclusive culture.The role of Senior Associate, Market Value Risk Analysis will reside within the Risk Division under the Chief Risk Officer (CRO) of the Bank. Market Risk Management (MRM) serves as an oversight function to the "first line of defense". MRM is responsible for identifying and quantifying the market risk embedded in the Bank's portfolio. MRM is also responsible for the Bank's corporate financial forecasts and the Bank's retained earnings analysis. This position will be responsible for preparing and reviewing the Bank's market value risk analytics.Major Accountabilities:Responsible for the market risk identification, quantification, monitoring and reporting for market value analytics.Responsible for assisting in the development and presentation of concise business oriented analysis for various Bank Committees, the Board of Directors and other external parties.Responsible for developing, maintaining, and enhancing the Bank's market value risk procedures and controls.Perform ad hoc risk management-oriented analyses, as necessary.Responsible for assisting in the development of alternative risk modeling tools, as appropriate.Management:The Senior Associate of Market Risk Analysis will be one of eight team members whose primary goal is to provide effective oversite of the Bank's market risk exposure and development of the Bank's financial forecasts.The Senior Associate of Market Risk Analysis will report to the Managing Director of Market Value Risk Analysis.Skills/Knowledge:Undergraduate college degree in a technical field of Math, Finance, or Economics is REQUIRED, Graduate Degree, is a plus.A minimum of two years of quantitative analytical experience, preferably in a financial institution or other highly-regulated environment.Understanding of market risk management concepts, measurement approaches and risk management practices. Understanding of the role of market risk management within a financial intermediary. Understanding of balance sheet and capital structure.Understanding of fixed income capital markets, MBS analytics, and associated pricing and valuation methods.Demonstrated knowledge of and experience using analytic systems and models to measure risk. Experience with QRM, AFT, and Polypaths desirable.Work history should demonstrate strong attention to detail and the ability to work within cross-functional teams and manage projects under tight deadlines.Detail oriented with exceptional organizational skills.Working knowledge of MS Office Suite, with specific emphasis on Excel and working knowledge of VBA, Access, and SQL.Strong analytical thinking and problem-solving abilities.Strong verbal and written communication skills.Self-motivator and team player who brings a "can-do" attitude.Critical Competencies:Excellent interpersonal skills to work in a team centered environment.Self-motivated.Strong communication skills, both written and verbalNotice regarding COVID-19 Vaccination Requirement: At the Federal Home Loan Bank of San Francisco, our top priority is the health and safety of our team members, our families, and the communities we serve. As part of our commitment to health and safety, the Bank requires all employees to be fully vaccinated against COVID-19 as a condition of employment. New employees must be able to provide proof of vaccination on their first day of work. A person is considered fully vaccinated two weeks after the second dose of a two-dose COVID-19 vaccine or two weeks after a single-dose COVID-19 vaccine has been administered.If you are unable to be vaccinated against COVID-19 because of a sincerely held religious belief, medical condition, or disability, the Bank will consider requests for accommodation in accordance with applicable law.The Federal Home Loan Bank of San Francisco is an Equal Employment Opportunity employer and is committed to a diverse workforce. We value and actively seek to recruit, develop, and retain individuals with varied backgrounds and experiences reflecting the full diversity of the communities that we serve. It is the policy of the Bank to comply with all applicable laws concerning the employment of persons with disabilities.

Keywords: FHLBank San Francisco, Sacramento , Market Value Risk Analysis, Sr. Assoc., Other , Sacramento, California

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