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Intern - Model Risk

Federal Home Loan Bank of Indianapolis
Intern - Model Risk
Indianapolis, US
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Job Description

The Model Risk Intern will play an important role in assessing the Bank’s model risk through model validations, risk reviews, and ongoing analysis. As a member of Enterprise Risk Management (ERM), the Intern will assist the Model Risk Management Group (MRMG) in validating financial models throughout the Bank in order to assess model reasonableness, weaknesses, and risks. The Intern will interact with model owners/users across the Bank to understand current model performance, development activities, and emerging risks.

The following statements are intended to describe the general nature and level of work being performed by persons assigned to the job. They are not intended to be an exhaustive list of all responsibilities or abilities required of persons so classified. The Bank reserves the right to alter or amend this description at any time.

Specific Responsibilities**:**

  • Participate in 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, and assessing the effectiveness and sufficiency of model controls and documentation.

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

  • Participate in the development of 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. Recommend required action plans to model owners/developers.

  • Assist in third-party model validation.

  • Participate in annual and ad-hoc risk reviews for financial models around the Bank.

  • Assist in other model risk management activities such as maintaining the Bank’s model inventory, tracking outstanding model validation findings, generating periodic model risk related reports to relevant committees and stakeholders, and remediating audit and regulatory findings.

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

  • Understand current regulatory guidance (specifically FHFA’s Model Risk Management Advisory Bulletin 2013-07 and 2022-03) and apply regulations in assessing Bank models.

Position Requirements:

  • Up to 12-month internship program with 40 hours per week in the summer and 20 hours per week in the fall.

  • Working towards an advanced degree (e.g. M.S. or Ph.D.) with a concentration in Computational/Quantitative Finance, Statistics, Mathematics, Computer Science, Economics, or some other quantitative discipline.

  • Previous experience working in a related field, such as model risk management, predicative modeling, financial modeling, optimization, and data science, desirable. Previous internship and graduate research experience count.

  • Understanding of stochastic processes, time series analysis, principal component analysis, optimization, logistic regression, Monte Carlo simulation.

  • Understanding of financial market concepts and basic fixed-income analytics.

  • Proficiency with at least one of the programming languages such as Python, R, Julia, or MATLAB is required. Python is the preferred programming language.

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

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

  • Strong written and oral communication skills required. Ability to write clear technical reports and memos. Must be able to communicate and maintain relationships with model owners and other stakeholders.

  • FRM or CFA desirable.

  • Ability to work onsite when needed.

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