Financial Valuation Analyst
Federal Home Loan Bank of Indianapolis
Total years of experience :8 years, 10 Months
As a member of the Financial Systems Engineering (FSE) team, I am responsible for valuation and hedging accounting processes with emphases on quantitative analysis, research, derivatives modeling in risk management systems, and accounting impacts on financial performance
Specific Responsibilities:
•Review and analyze month-end valuations of the Bank’s derivative and hedge portfolio to determine the reasonableness and appropriateness of the assumptions in use
•Review and analyze hedge effectiveness testing results of the Bank’s derivative portfolio at inception and month-end. Investigate and document changes in effectiveness
•Review unhedged trades
•Review market value comparison and analysis of derivative market values against counterparty marks and review derivative market value profiles by counterparty. Review, investigate and report differences above established thresholds as well as the reasonableness of established thresholds. Additionally, complete analysis reports to detail trending of market valuations
•Participate in cross functional team (front office, middle office, back office, CRM and FSE representatives) responsible for review and analysis of derivative valuation and hedging. Document meetings and assumptions used and communicate results to the Market Data Governance Working Group
•Maintain and keep current procedural documentation, including Sarbanes-Oxley controls evidence, on the valuation and hedging process
•Work with Calypso model owner and Financial Valuation Manager and responsible for documentation, updates, validation coordination and development efforts with the FSE team
