The Federal Home Loan Bank of Chicago is seeking a Manager, Income Simulation and Risk Modeling in Chicago, IL with the following requirements: BS in Finance, Financial Markets or any other quantitative discipline and 6 years related experience. Prior experience must include the following: validate components of mathematical financial models incorporating Monte Carlo routines, Cholesky algorithms and Principal Component Analysis (3 years); manage, research, model, develop and validate interest rate risk, and liquidity risk using parametric, historical and Monte Carlo VaR methods and model FAS157 and FAS133 hedge effectiveness calculation using Matlab and VBA (3 years); validate DFAST and CCAR stress test models and perform statistical tests including Clayton copula replication and regressions, in Matlab, R and VBA (2 years); perform valuation, calculate P&L and accounting for fixed income and derivative holdings as well as design and code proprietary valuation and accounting models in EXCEL VBA (6 months). 

We are an Equal Employment Opportunity (EEO) employer and does not discriminate on the basis of race, color, national origin, religion, gender, age, veteran status, political affiliation, sexual orientation, marital status or disability (in compliance with the Americans with Disabilities Act) with respect to employment opportunities.