Sr./Quantitative Risk Specialist - Counterparty
Federal Reserve Bank
- San Francisco, CA
- Permanent
- Full-time
- Develop and maintain counterparty credit risk models relevant for supervisory stress-testing purposes.
- Participate in all aspects of the modeling life cycle, including design, implementation, testing, production, validation, and performance assessment.
- Perform quantitative analysis related to counterparty credit risk, including data analytics and statistical 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 CSMT members and other Program staff.
- 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 equivalent combination of education and experience. The Sr. Quantitative Specialist role typically requires five or more years of experience in banking, financial industry, or banking supervision; or an equivalent combination of education and experience.
- Previous work experience in financial risk modeling, risk measurement and management, and regulatory capital requirements.
- Proficiency in one or more statistical programming languages, especially R.
- Proficiency in econometric modeling techniques and working with large data sets.
- Well-developed organizational, communication, and collaboration skills.
- Demonstrated experience in credit risk modeling, credit risk management, risk measurement techniques, market-based regulatory capital requirements, and asset pricing.
- Demonstrated ability to set priorities as well as execute in a timely manner priorities as set by/with more senior management.
- 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.