General Summary:
Providesintermediate level financial, quantitative, and market risk analyses. Utilizesfinancial modeling software programs, Excel, database applications, andsubsidiary systems in support of the Bank's financial risk management.Participates in the use and maintenance of the earnings simulation model,prepayment model, interest rate risk model, and other market risk models andsubsidiary processes and systems.
Principal Duties andResponsibilities:
- Researches, creates, develops, interprets, applies, implements, and presents financial analyses projects concerning all facets of the financial operations, including earnings projections, market risk exposure, funding/hedging activities, advances, mortgage loans, mortgage-backed securities, short-term investments, Consolidated Obligations, structured debt, capital, retained earnings, derivatives, mortgage prepayment speeds, interest rate volatility, basis risk, term structure modeling, balance sheet composition, and leverage.
- Utilizes the earnings simulation model, and other models as assigned, including documentation of procedures, preparation of input data using appropriate systems and programs, automation of data management, organization and processing of reports and analyses, analysis and verification of results, and developments and enhancements.
- Produces regular analytical reports on actual and projected profitability at the total balance sheet and portfolio level.
- Utilizes financial software packages and systems to perform analyses, which may include Windows applications (particularly Excel and CoPilot), SQL, PowerBI, Bloomberg, PolyPaths, Black Knight, and Bank proprietary software and programs.
- Participates in fulfilling the Department's compliance with Sarbanes Oxley legislation, model governance requirements, and end-user computing requirements.
- Performs other duties as assigned by management.