Sr./Quantitative Risk Specialist - Securities

Company

Federal Reserve Bank of San Francisco

We are the San Francisco Fed, public servants with a congressionally mandated mission to promote a sound and stable economy to support the lives of all Americans. We are a community-engaged bank, and we are committed to understanding and serving the vibrant, diverse people of the Twelfth District. That means we seek and appreciate new perspectives. We respect people for what they do and for who they are. We build opportunities to learn and grow. When you join the SF Fed, you become part of a team united in its purpose to promote an economy that works for everyone.

The Quantitative Supervision and Research (QSR) Team provides quantitative support to the Federal Reserve’s national supervisory programs in the areas of financial risk modeling and model risk management.  The QSR Team engages in two primary supervisory functions, the LISCC Capital Program and the Stress Testing Program. The Team is a key contributor to the LISCC Capital Program, which is the primary supervisory group for capital adequacy and capital planning at the largest U.S. bank holding companies. The QSR Team is also a key contributor to the Stress Testing Program, which is responsible for developing and maintaining the Federal Reserve’s financial models used in the annual Dodd-Frank Act Stress Testing (DFAST) exercise. Team members hold key roles on various modeling teams, particularly teams responsible for counterparty credit risk modeling and securities valuation modeling. This job posting is for an open position on the Securities Supervisory Modeling Team within the Stress Testing Program.

With your application, please submit a resume, and GitHub link (or other) with 2 – 3 coding samples related to financial modeling. Coding samples are most helpful if they are solo-authored and represent R or Python solutions. 

Position Summary:

The Federal Reserve System’s Stress Testing Program is responsible for the annual supervisory stress-testing (DFAST) exercise.  The main outcome of this exercise is the determination of firm-specific capital requirements that contribute to ensuring that the affected firms and the financial system more broadly are adequately capitalized in case of adverse economic or financial events. 

Accordingly, modelers within the Stress-Testing Program are expected to provide top-tier technical modeling expertise and high-quality model risk management skills (as per the Federal Reserve’s SR 11-7 letter) to the development and maintenance of their assigned stress-testing models.  Candidates are expected to have technical training in financial modeling as well as hands-on experience in the entire model development lifecycle including research, building, testing, performance monitoring and operation. Candidates are also expected to have excellent coding and data science skills as well as  relevant experience in the presentation and communication of quantitative modeling topics to non-technical audiences. 

This job posting is related to an open position on the Securities Supervisory Modeling Team (SecSMT). The team is responsible for developing and maintaining the models that estimate losses due to scenario-related fluctuations in the interest rate risk and credit risk inherent to banks’ securities holdings. Members of this team require subject matter training and expertise in the fields of asset pricing, credit risk modeling, regulatory capital treatment, and securities markets infrastructure.

Essential Responsibilities:

• Develop and maintain the securities pricing risk models relevant for supervisory stress-testing purposes.
• Participate in all aspects of the modeling life cycle, including design, implementation, testing, production, validation, and ongoing performance assessment.
• Perform quantitative analysis related to the interest rate risk and credit risk inherent to banks’ securities holdings, using advanced data analytics and econometric modeling.
• Develop and manage the underlying data and codebase for these models with a particular coding emphasis in R.  Other coding languages are useful as well.
• Develop and maintain model soundness and control documentation in accordance with Program standards.
• Participate in model validation exercises by responding to queries and findings by the Federal Reserve’s independent model validation function.
• Prepare and deliver clear, accurate, and concise communication orally and in writing for quantitative and non-quantitative audiences.
• Work collaboratively with other SecSMT members and other Program staff.

Requirements: 

• Masters or Ph.D. degree in a quantitative field.
• The Quantitative Specialist role typically requires three or more years of relevant experience in banking, financial industry, or banking supervision; or an equ