Director of Quantitative Research - (Topeka, KS)

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