Job Overview

Area Overview

The Models and Methodologies Team partners with other areas in Bank Supervision and leads in the evaluation of risk modeling and methodologies in the banks that we supervise. Team members’ contributions to the Group include considerable industry knowledge of models of market, credit, and operational risk measurement and management. Team members also provide thorough and insightful technical expertise of modeling techniques used by supervised institutions. In addition, the Team coordinates with and provides leadership to the supervised institutions, within the New York Fed, and within the US and international supervisory communities.

The successful candidate will leverage these individual experiences and will look more broadly across institutions, providing analysis, supplying insights, and identifying emerging risks and trends. The selected candidate will perform targeted reviews focusing on banks’ application of tools utilized to address (a) market risk measurement (such as value-at-risk and stress testing), (b) quantification of credit risk, including wholesale, retai, and counterparty credit, and on (c) industry practices in the emerging discipline of operational risk measurement and management. The selected candidate will critically evaluate the implementation of the Basel II accord regarding best practices in risk management throughout the supervised banks.

Job Responsibilities

Lead the efforts to critically evaluate the Internal Capital Adequacy Assessment Process (ICAAP) of state member banks, bank holding companies, non-bank subsidiaries and foreign banking organizations;
Identify, measure, aggregate and monitor the risks incurred by the institution;
Determine whether there is sufficient capital coverage for the fundamental risks the institution is exposed to;
Determine whether an adequate risk management system is in place, which is being continuously developed, and with the risk factors identified;
Evaluate various type of risk model implementation of the supervised institutions;
Assess the quality of the overall methodologies and the particular models that are currently in use or under consideration for adoption at the supervised institutions;
Present supervisory conclusions to management at FRBNY and the supervised institution at various organizational levels, including top executives;
Monitor developments in capital markets through the supervision process and identify important emerging trends and risks, both at the individual institution level and at the industry level;
Develop peer perspective on institutions’ overall risk methodologies and individual risk modeling efforts;
Coordinate activities and approaches to risk model evaluation with other regulatory bodies, both within the US and internationally;
Communicate the cross-institutional perspective on leading-edge risk management techniques within the Federal Reserve, in an interagency setting, within the international supervisory community, and to the supervised institutions; and
Provide intellectual leadership in bank supervision policy circles within the US and within the international community.

Job Requirements

At least 5 years of experience in financial service industry including commercial or investment banking, credit rating agencies, regulatory agencies or consultant firms. Working knowledge of risk management, credit risk modeling, scoring and/or internal rating methodologies. Experience in model development, model validation, Basel 2 requirements, economic capital modeling, capital adequacy evaluation, Monte Carlo simulation are a plus. Candidate should possess an advanced degree in a quantitative discipline such as Financial Engineering; MBA with a quantitative focus; Statistics; Applied Mathematics or Operations Research. Practical experience in data analysis, forecasting, stress testing, credit value adjustment and fair value estimation are highly valued.

This position requires access to confidential supervisory information, which is limited to "Protected Individuals" as defined in the U.S. federal immigration law. Protected Individuals include, but are not limited to, U.S. citizens, 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./

The Federal Reserve Bank of New York values and is committed to a diverse workforce.

Candidates must be eligible to work in the United States on a multi-year basis for other than practical training purposes (authorization under a student visa to engage in practical training does not satisfy this requirement).