Director of Quantitative Research
The individual in this position directs the quantitative research function of the Market Risk Analysis (MRA) department by:
(1) leading the development and implementation of an on-going, overall gap analysis of existing market risk metrics;
(2) managing the feasibility assessment, research, development and implementation of a predictive analysis framework;
(3) researching and implementing alternative interest rate models (e.g., Black-Karasinski, Hull-White, etc.) and alternative option pricing methods, including binomial and trinomial lattice constructs, in order to determine appropriate valuation approaches to be used in market risk measurement and management;
(4) directing the research and identification of trends in industry best-practices where awareness and a strategic approach is needed for positioning the FHLBank to address these trends; and
(5) developing and implementing a dynamic, scalable attribution analysis based on quantifiable market risk factors and determine opportunities to leverage outcomes.
Qualifications:
- Advanced degree in in finance, mathematics, computer science, or economics required. Ph.D. strongly preferred in related field.
- Eight to 10 years’ experience in financial markets and market risk modeling.
- Advanced knowledge of financial markets including interest rate derivatives.
- Advanced mathematical modeling proficiency.
- Advanced ability to apply database and spreadsheet applications.
- Advanced ability to independently compose algorithms in compliable form.
- Advanced knowledge of financial modeling techniques and products, including theoretical constructs and the associated relational terms and applications.
- Demonstrated written and oral communication skills.
- Ability to work in a rapidly changing field and consistently meet deadlines.
- Experience using MS Office including Word, Access, Excel, etc.
- Must be able to work and travel independently.
In addition to a rewarding, team-oriented work environment, FHLBank Topeka offers opportunities for growth and development, an attractive benefit package including health and dental insurance, 401(k), short-term incentive plan, student loan repayment assistance and much more.