Participates in examinations, inspections, and perform analyses of complex BHCs’ use of quantitative techniques in various risk management activities including credit risk, market risk, liquidity risk, operational risk, and capital allocation.
Assists with model risks and model risk management frameworks at large banks and BHCs to determine compliance with supervisory expectations; review and evaluate the adequacy and effectiveness of advanced risk management systems and quantification methodologies used to measure, report, mitigate and control risks, including the assessment of formal and informal risk models; review and evaluate the effectiveness of management, policies and procedures, risk exposure reporting, internal controls, and compliance with laws and regulations.
Participates in efforts to critically evaluate model implementations across firms, including evaluation of underlying model construction, assumptions and data constraints, and provide assessments of the quality of the overall methodologies that are currently in use or under consideration for adoption at the supervised institutions.
Develops and recommends appropriate supervisory actions to ensure sound risk management practices.
Prepares clear and concise written summaries, workpapers, supervisory documents, as well as, coordinates and leads meetings with senior bank management regarding the BHC’s modeling processes to better understand, assess, and provide feedback on specific issues that require remediation.
Performs and participates in Federal Reserve System initiatives related to the assessment of advanced risk management frameworks, including but not limited to internal capital adequacy processes and specialized risk modeling.
Participates in the development of horizontal assessments of quantitative risk management practices across the District and within the Federal Reserve System and may contribute to Federal Reserve System internal model development or validation. Serves as a resource in quantitative analytics for Bank, department management, and senior staff. Maintains proficiency in advanced statistical/analytical methods and methodologies; and monitors white papers, industry developments and other key knowledge sources. Develops and maintains relationships and collaborate with supervisory personnel at the Board of Governors, other Reserve Banks, other regulatory agencies, and manage interactions across a number of supervised BHCs.
Education:
Bachelor's Degree; Master's Degree preferred
Experience:
Two years to Five years Quantitative skills and knowledge of statistical methods/tools for developing and validating risk management and capital stress models Project Management Skills Comprehensive Modeling Proficient with at least one widely used statistical or mathematical programming language (such as SAS, R, MATLAB, etc.) preferred
Individual Competencies
Demonstrates Self-Awareness Problem Solving Action-Oriented Collaborates Communicates Effectively.
This is not necessarily an exhaustive list of all responsibilities, duties, performance standards or requirements, efforts, skills or working conditions associated with the job. While this is intended to be an accurate reflection of the current job, management reserves the right to revise the job or to require that other or different tasks be performed when circumstances change (e.g. emergencies, rush jobs, change in workload or technological developments).
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