Principal Risk Modeling Specialist
1 week ago
Company: Federal Reserve Bank of San Francisco
The Federal Reserve Bank of San Francisco serves the public with a mission to enhance the nation's monetary, financial, and payment systems, fostering a robust economy for all Americans. We pride ourselves on being a community-focused institution, dedicated to understanding and serving the diverse communities within the Twelfth District. Our commitment to inclusivity means we value fresh perspectives and respect individuals for their contributions and identities. Joining the SF Fed means becoming part of a diverse team united in the goal of promoting an economy that benefits everyone.
The Supervision + Credit (S+C) group oversees the regulation and supervision of state member banks (SMBs), bank holding companies, savings and loan holding companies, financial holding companies, data service providers, trust companies, and foreign banking entities operating in the Twelfth District. The institutions we supervise vary widely in size and complexity, from small community banks to some of the largest banking organizations in the nation.
The Quantitative Supervision and Research (QSR) Team plays a vital role in providing quantitative support for the Federal Reserve's national supervisory programs, focusing on financial risk modeling and model risk management, as well as assisting supervisory teams within the S+C group.
The QSR Team is engaged in two main supervisory functions: the LISCC Capital Program and the Stress Testing Program. As a key contributor to the LISCC Capital Program, the team assesses capital adequacy, capital planning, and financial risk management at the largest U.S. bank holding companies. The team has developed significant expertise in counterparty credit risk, offering both quantitative and qualitative supervisory insights in this domain. Additionally, the team supports bank examinations conducted by the S+C group when necessary. The QSR Team also contributes to the Stress Testing Program, which is responsible for developing and maintaining the Federal Reserve's financial models utilized in the annual Dodd-Frank Act Stress Testing (DFAST) exercise. Team members hold essential roles on various modeling teams, particularly those focused on counterparty credit risk modeling and securities valuation modeling.
This position is part of the Federal Reserve System's LISCC program, which is the national supervisory initiative for the largest and most systemic financial institutions in the country. The program is overseen by the LISCC Operating Committee and involves hundreds of staff from Reserve Banks and the Board. The LISCC Capital Program specifically evaluates the capital adequacy, capital planning, and financial risks of the largest bank holding companies on a forward-looking basis.
This job posting pertains to a role within the LISCC Capital Counterparty Credit Risk (CCR) team. The CCR team is responsible for assessing whether firms implement sound counterparty credit risk management practices that enable them to monitor and mitigate risks effectively. The team also evaluates the firms' estimation approaches and controls to ensure they can reliably anticipate changes to their risks, exposures, and activities under stress scenarios. The team's ongoing monitoring efforts include firm engagement and analysis of firm strategy, products, and risk-taking, aimed at guiding future supervisory actions. The team comprises both counterparty credit risk experts and quantitative specialists who collaborate to fulfill supervisory responsibilities.
As a Senior Quantitative Risk Specialist, you will work under the guidance of CCR leadership to conduct supervisory events with a quantitative emphasis, collaborating with counterparty credit risk experts and other quantitative specialists. Your responsibilities will include evaluating and providing insights on bank processes related to CCR model development, effective model risk management, and ongoing model performance monitoring. You will be expected to communicate your assessments clearly in both written and presentation formats.
Key Responsibilities:
- Serve as a quantitative risk modeling expert, offering insights to LISCC examination team leads on the planning of quantitative topics for examination.
- Participate in CCR supervisory examinations, providing assessments of banks' risk measurement and model risk management practices.
- Collaborate effectively with other quantitative specialists, examiners, and supervisory leadership.
- Prepare and deliver clear, accurate, and concise supervisory messages to both quantitative and non-quantitative audiences.
- Communicate supervisory messages to firm management, outlining the firm's standing relative to supervisory expectations and necessary actions for improvement.
- Enhance and maintain knowledge in CCR model risk management and related supervisory guidance, including regulatory requirements and methodologies identified during Federal Reserve reviews.
- Foster effective working relationships with internal partners and other regulatory agencies.
Qualifications:
- Master's degree or PhD (preferred) in Economics, Engineering, Finance, Mathematics, or a related quantitative field.
- Typically requires five or more years of relevant experience in banking, financial services, or banking supervision, or an equivalent combination of education and experience.
- Demonstrated expertise in credit risk modeling, counterparty credit risk management, market risk management, and regulatory capital requirements.
- Strong interpersonal skills and ability to work within diverse teams.
- Excellent problem-solving abilities with a history of successfully resolving complex issues.
- Exceptional oral, written, and presentation skills, capable of conveying complex issues to varied audiences.
- Willingness to travel up to 25% as needed.
- This position requires access to confidential supervisory information, which is limited to 'Protected Individuals' as defined by relevant regulations.
Employment Type: Full-time
Job Category: Monetary and Economic Policy
Work Shift: First (United States of America)
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