Sr. Quantitative Risk Specialist

Company

Federal Reserve Bank of San Francisco

We are the San Francisco Fed, public servants with a congressionally mandated 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 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. We empower our people to balance their life and work responsibilities. That’s why we offer a flexible hybrid work model that allows you to collaborate with office colleagues on some days, and work from home on others.

The Supervision + Credit (S+C) group is responsible for the supervision and regulation of state member banks, 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 of the Federal Reserve System. 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 within S+C provides quantitative support to the Federal Reserve’s national supervisory programs as well as to supervisory teams within the District’s S+C group.  The QSR 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.  The QSR Team is also a key contributor to the Stress Testing Program, which is responsible for creating 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 trading risk modeling and securities valuation modeling. QSR team members also provide quantitative expertise in support of quantitative supervisory activities for other large banks within the District.

We have an exciting opportunity to add a Senior Quantitative Analyst to the QSR team to support local supervision of the 12th District’s large foreign banking organizations (LFBO). Our ideal candidate has quantitative skills and also possesses some bank examination background.  You are an excellent communicator (written and verbal) and are able communicate effectively with technical and non-technical partners. 

The primary role of a Senior Quantitative Analyst is to provide quantitative expertise to the District’s dedicated supervisory teams (DSTs) in their evaluation and assessment of model risk management at LFBO firms. Generally, the role requires quantitative contributions to LFBO examinations across a range of models, including - but not limited to - CECL, market risk, credit risk, and model risk management. The Senior Quantitative Analyst will evaluate and opine on bank processes regarding 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.

Essential Responsibilities:

• Participate in firm-specific examinations as well as LFBO horizontal and coordinated reviews for various supervisory topics. Develop examination scope and objectives; execute exam procedures; engage S+C and System partners as well as other regulators; and develop supervisory products that provide well-supported conclusions.
• Act as quantitative risk modeling expert, providing advice to DST examination team leads on the scoping, organizing, and planning of quantitative supervisory topics to be covered in an exam and its expected work products.
• Work collaboratively with other quantitative specialists, examiners, and supervisory leadership.
• Prepare and deliver clear, accurate, and concise supervisory messages orally and in writing to quantitative and non-quantitative audiences.
• Deliver clear supervisory messages to firm management, describing where the firm stands relative to supervisory expectations and expected actions for addressing matters that require attention, as applicable.
• Contribute to the Capital, Liquidity and Governance and Controls ratings assessments under the LFI Ratings Framework, based on knowledge of the f