Sr. Quantitative Risk Specialist

Company

Federal Reserve Bank of San Francisco

We are the Federal Reserve Bank of San Francisco—public servants with a mission to advance the nation’s monetary, financial, and payment systems to build a stronger economy for all Americans. We are a community-engaged bank, and are committed to understanding and serving the vibrant, expansive communities 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 diverse team united in its purpose to promote an economy that works for everyone.

The Supervision + Credit (S+C) group is responsible for the supervision and regulation of state member banks (SMBs), bank holding companies, savings and loan holding companies, financial holding companies, data service providers, trust companies, and foreign banking organizations that operate in the Twelfth District. Supervised institutions are in all states of the District and range in size and complexity from small community organizations to some of the largest banking organizations in the country.

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 as well as to supervisory teams within the District’s Supervision + Credit group.

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, capital planning, and financial risk management and controls at the largest U.S. bank holding companies. In particular, the Team has developed an expertise in counterparty credit risk and contributes both quantitative and qualitative supervisory expertise in this area. Additionally, when needed, the Team provides quantitative support to bank examinations managed by the District’s Supervision + Credit group.  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 position is within the Federal Reserve System’s LISCC program. The LISCC supervision program is the Federal Reserve’s national supervisory program for the nation’s largest most systemic financial institutions. The program is overseen by the LISCC Operating Committee and is driven by hundreds of staff from Reserve Banks and the Board. The LISCC Capital Program is the component that assesses the capital adequacy, capital planning, and financial risks and controls of the largest bank holding companies on a forward-looking basis.

This job posting is related to a position in the LISCC Capital Counterparty Credit Risk (CCR) team. The CCR team’s areas of responsibility are (i) determining whether firms employ sound counterparty credit risk management practices that allow them to monitor and limit risks and (ii) evaluating whether the firms’ estimation approaches and controls allow them to reliably anticipate changes to their risks, exposures, and activities under stressful scenarios. In addition to conducting horizontal and firm-specific capital-related examinations, the team’s year-round monitoring efforts include focused firm engagement and analysis of firm strategy, products, and risk taking, with the goal of directing and informing future supervisory activity. The team consists of both counterparty credit risk experts and quantitative specialists who work collaboratively to complete the supervisory events.

In this role as a Senior Quantitative Risk Specialist, you will be responsible, under the guidance of CCR leadership, for completing supervisory events with a quantitative focus while working with counterparty credit risk experts and other quantitative specialists. As part of these events, you will evaluate and opine on bank processes regarding CCR model development (such as the support for underlying assumptions) and effective model risk management, including model conceptual soundness, model fitness for purpose, ongoing model performance monitoring, and quality of model validation efforts. You will be expected to support your assessments consistent with supervisory expectations, and clearly communicate these in written and presentation settings.

Essential Responsibilities: 

• Act as a quantitative risk modeling expert to provide viewpoints to LISCC examinations team leads/Examiners-in-Charg