Depository Risk Analyst

Federal Home Loan Bank of Chicago is a government-sponsored bank focused on providing funding and support to financial institutions in Illinois and Wisconsin. The Depository Risk Analyst will develop and maintain credit risk models, perform credit analysis, and contribute to risk management strategies within the organization. Responsibilities Develop and maintain advanced credit risk models using statistical and econometric techniques to assess member risk profiles, including banks, credit unions, and insurance companies Design, implement, and enhance models in R (and/or Python) for credit risk measurement, stress testing, benchmarking, and scenario analysis, ensuring compliance with regulatory and internal standards Leverage Databricks and other cloud-based platforms to process and analyze large-scale financial datasets efficiently, integrating structured and unstructured data sources Perform data mining, statistical analysis, and predictive modeling to identify trends, correlations, and emerging risks within member portfolios Automate recurring analytics and controls (e.g., score recalcs, risk rating refreshes, sensitivity checks) using R, SQL, and VBA where appropriate Conduct statistical analysis and portfolio diagnostics (trend analysis, correlations, concentration, PD inputs where applicable) Develop clear visualizations and dashboards to communicate model insights and portfolio risk to senior stakeholders Monitor model performance and drift; propose recalibration or redevelopment based on statistical evidence and business need Stay current on credit risk modeling practices and regulatory expectations relevant to depository institutions Perform credit analysis and risk ratings for depository members, including quarterly reviews and ongoing monitoring of financial condition and liquidity/funding profiles Analyze and recommend approval for new and/or continuing borrowers, aligned with credit policy and risk appetite Recommend credit and collateral terms for banks and credit unions, incorporating appropriate structures and risk mitigants Partner with Relationship Managers and borrowers to structure transactions and address risk considerations Develop, refine, and support credit underwriting standards for depository institutions to ensure consistency and regulatory alignment Monitor macroeconomic and regulatory developments and assess their impact on member creditworthiness Prepare and deliver reports and presentations to senior management, regulators, and the Credit Committee Contribute to credit risk policy updates and cross-functional strategic projects Identify and implement process improvements to reduce manual work and enhance control and efficiency Skills Bachelor's or Master's degree in Mathematics, Statistics, Quantitative Finance, Econometrics, or a closely related analytical field 1–4 years of experience in credit risk analysis, banking, fixed-income, or institutional underwriting Demonstrated foundation in statistical modeling, probability, and quantitative methods applied to credit risk Familiarity with regulatory filings, GAAP, and financial statement analysis for financial institutions Experience with financial data platforms such as S&P Capital IQ / SNL, Bloomberg, or similar Advanced quantitative/statistical skills with the ability to build, interpret, and explain credit risk models Proficiency in R for statistical modeling and analytics; experience with SQL and Databricks for large-scale data processing is a plus Knowledge of U.S. banking industry dynamics, credit risk principles, and regulatory environment for depository institutions Strong Excel (including advanced functions; VBA a plus); familiarity with Tableau and Bloomberg helpful Excellent written and verbal communication skills, with the ability to distill complex analyses for non-technical audiences High attention to detail, intellectual curiosity, and sound judgment Effective time management; comfortable working both independently and within a team environment Benefits Retirement program (401k and Pension) Medical, dental and vision insurance Lifestyle Spending Account Competitive PTO plan 11 paid holidays per year Company Overview Our Mission: To partner with our members in Illinois and Wisconsin to provide them competitively priced funding, a reasonable return on their investment in the Bank, and support for their community investment activities. It was founded in 1932, and is headquartered in Chicago, IL, US, with a workforce of 201-500 employees. Its website is Company H1B Sponsorship Federal Home Loan Bank of Chicago has a track record of offering H1B sponsorships, with 1 in 2024, 6 in 2022, 5 in 2021, 8 in 2020. Please note that this does not guarantee sponsorship for this specific role.