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Lead Quantitative Risk Specialist at Federal Reserve Bank (FRB) in San Francisco, California

Posted in Finance 25 days ago.

Type: Full-Time





Job Description:

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 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.

Department Overview 

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 primarily, but not exclusively, to a position in the 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 our Lead Quantitative Risk Specialist, you will be responsible, under the guidance of CCR leadership, for leading the execution of supervisory events with a quantitative focus while working with counterparty credit risk experts and other quantitative specialists. As part of leading these events, you will work collaboratively with CCR leadership to scope the events, oversee other members of the counterparty team to ensure successful execution and clearly report the findings to CCR leadership and other, often non-technical, partners. The Lead Quant Specialist will also act as a quantitative subject matter expert to assist the CCR leadership and occasionally the Capital Program broadly.  If you are seeking interesting work in a mission driven organization, we want to hear from you!

Essential Responsibilities: 


  • Acts as quantitative risk modeling lead, providing advice to LIS examination team leads/Examiners-in-Charge (EICs) on the scoping, organizing, and planning of quantitative topics to be covered in the exam and the expected work products.

  • Acts as a quantitative risk modeling lead to determine targeted examination topics and questions aimed at measuring institutions’ risks and risk response preparedness.

  • Leads projects centered on analyzing risks across an assigned area of focus, directing the work of subordinate team to identify, measure, and monitor existing risk and emerging risk concerns.

  • Reviews and finalizes the quantitative and qualitative reports produced by junior staff, including signing off work products, as needed.

  • Work collaboratively with other quantitative specialists, examiners, counterparty experts and capital program leadership

  • Prepare and deliver clear, accurate, and concise supervisory messages orally and in writing for quantitative and non-quantitative audiences.

Requirements:


  • Master’s degree and/or PhD (preferred) in Economics, Engineering, Finance, Mathematics, or similar quantitative related field.

  • Typically requires seven or more years of relevant experience in banking, financial industry, or banking supervision, or an equivalent combination of education and experience.

  • Demonstrated expertise in credit risk modeling, credit risk management, risk measurement techniques, market-based regulatory capital requirements, and asset pricing.

  • Outstanding interpersonal skills and ability to lead geographically diverse and teams.

  • Excellent problem-solving skills with a record of success in collaboratively resolving complex issues with sound judgment, creativity, and tact.

  • Exceptional oral, written, and presentation skills, with an ability to communicate highly complex issues to a wide range of audiences.

  • Some travel may be required, up to 20% as supplemental support to exam teams.

  • This position requires access to confidential supervisory information, which is limited to “Protected Individuals.”  Protected Individuals include, but are not limited to, U.S. citizens and U.S. nationals, U.S. permanent residents who are not yet eligible to apply for naturalization, and U.S. permanent residents who have applied for naturalization within six months of being eligible to do so or who will sign a declaration of intent to apply for naturalization before they begin employment. 

#LI-Hybrid

Base Salary Range: Min: Min: $172,600  Mid: $224,000  Max: $275,600 (Location: San Francisco)

Final salary and offer will be determined by the applicant’s background, experience, skills, internal equity, and alignment with geographic and other market data.

We offer a wonderful benefits package including: Medical, Dental, Vision, Pre-tax Flexible Spending Account, Backup Child Care Program, Pre-Tax Day Care Flexible Spending Account, Paid Family Care Leave, Vacation Days, Sick Days, Paid Holidays, Pet Insurance, Matching 401(k), and Retirement/Pension.

We will ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process, perform essential job functions, and receive other benefits and privileges of employment. The SF Fed is an Equal Opportunity Employer.

The Bank's ethics rules generally prohibit employees, their spouses/domestic partners, and minor children from owning securities, such as stock, of banks or savings associations or their affiliates, such as bank holding companies and savings and loan holding companies.  Employees in the S+C group also must ensure there are no conflicts of interest related to their previous employment and current financial interests.  S+C employees may be subject to borrowing and deposit restrictions and may need to recuse themselves from certain supervisory work.  Please review Section 5.3 and Appendix B of the Bank’s Code of Conduct to ensure compliance with the Code of Conduct conflict of interest rules and personal investment restrictions.

Full Time / Part Time

Full time

Regular / Temporary

Regular

Job Exempt (Yes / No)

Yes

Job Category

Monetary And Economic Policy

Work Shift

First (United States of America)

The Federal Reserve Banks believe that diversity and inclusion among our employees is critical to our success as an organization, and we seek to recruit, develop and retain the most talented people from a diverse candidate pool. The Federal Reserve Banks are committed to equal employment opportunity for employees and job applicants in compliance with applicable law and to an environment where employees are valued for their differences.

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