Model Risk Specialist, Large and Foreign Banking Organization Function - Supervision Group Model Risk Specialist, Large and Foreign Banking  …

Federal Reserve Bank of New York
in New York, NY, United States
Permanent, Full time
Last application, 16 Aug 19
Federal Reserve Bank of New York
in New York, NY, United States
Permanent, Full time
Last application, 16 Aug 19
Model Risk Specialist, Large and Foreign Banking Organization Function - Supervision Group
The Large and Foreign Banking Organization (LFBO) Function within the Supervision Group is responsible for monitoring and assessing the safety and soundness of firms that are domestic or foreign-owned with U.S. operations over $100 billion in assets, excluding the Large Institution Supervision Coordinating Committee (LISCC) firms. LFBOs are subject to the Consolidated Supervisory Framework (SR 12-17/CA 12-14). LFBOs are also subject to the Interagency Program for supervising the US Operations of foreign banking organizations, particularly those with numerous entities across multiple US supervisory jurisdictions. The Federal Reserve Board is the US Federal Agency responsible for overall supervision of foreign banks in the US and works in cooperation and coordination with the other federal and state banking authorities involved in supervising the US operations of foreign banks to carry out the responsibilities of the FBO Supervision Program.

The Risk and Analysis Department, within the LFBO Function, partners with on-site teams to promote safety and soundness and to assess firms’ risk management practices. The Model Risk team contributes to the LFBO management’s objectives by identifying, assessing and monitoring inherent/emerging risks related to model risk activities at the LFBOs.

Job Responsibilities:
The Model Risk Specialist is responsible for evaluating the risk modeling methodologies and model risk management practices of the financial institutions at the LFBOs. Department members’ contributions to Supervision include industry knowledge of models for market, credit, and operational risk measurement and management. Team members also provide technical expertise in modeling techniques used by supervised institutions. He/she will also share knowledge with other risk specialists in the Capital team and with other risk specialists in Risk and Analytics to ensure the consistent application of supervisory standards for peer firms. In addition, the team coordinates with and provides leadership to other areas within the New York Fed and the Federal Reserve System, directly managing the relationships with supervised institutions, and within the US and international supervisory communities.

To support these outcomes the Risk Specialist will:

  • Act as the Model Department point-person for model risk at multiple LFBO institutions. Develop a good understanding of the firms risk profile and risk management practices as they relate to models. Develop an understanding of how the firm monitors model performance within and across risk streams and assess strengths and weaknesses in practices.
  • Balance a high-level view of model risk at the supervised firm with lower-level model reviews; take both qualitative and quantitative approaches to model risk.
  • Monitor all aspects of model risk across all parts of the firm, including model development, validation, implementation, change control, ongoing use, governance, and risk measurement and reporting.
  • Understand strengths and weaknesses of policies and procedures around modelling and how they are implemented at the firm.
  • Have a thorough understanding of how model risk is presented to senior management and the meaning behind the metrics, as well as assess whether the reporting is commensurate with the model risk profile.
  • Understand Internal Audit’s role in the Model Risk Management process including effectiveness and stature.
  • Contribute to supervisory planning, including participating in meetings with firm's business and risk management personnel, conducting risk examinations including evaluation of MRA closure, periodic rating and roll-up exercises, and CCAR assessments.
  • Identify current and emerging model risk issues, and recommend specific areas or models to be examined in more detail. Follow up on problematic areas over time.
  • Maintain a cross-firm view of model risk, collaborating closely with colleagues within the Department, across the Bank, the Federal Reserve System, and the regulatory community.
  • Present supervisory conclusions to Bank management and the supervised institution at various organizational levels, including top executives.

Job Requirements:

  • Seven or more years of experience in finance or financial institution supervision with (a) at least one year at a financial regulatory agency preferred and (b) a career focus on model risk management, model development, or model validation;
  • Advanced degree in a technical field such as mathematics, mathematical finance, financial engineering, statistics, operations research, or economics;
  • High degree of autonomy and self-direction, and a willingness to defend conclusions with which internal and external stakeholders may disagree;
  • Excellent communication skills, including explaining technical concepts to non-technical audiences, influencing others, and writing clearly and forcefully;
  • Understanding of Federal Reserve Model Risk Management Guidance (SR 11-7), Basel II/III and Market Risk Rule requirements, Swap Margin Rule, CECL and capital adequacy modeling;
  • Expertise and knowledge of market risk models used for internal risk management and regulatory market risk capital;
  • Willingness for occasional domestic or international travel; and
  • Ability to draw supervisory assessments from a diverse landscape of models and metrics.

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 is committed to a diverse workforce and to providing equal employment opportunity to all persons without regard to race, color, religion, national origin, sex, sexual orientation, gender identity, age, genetic information, disability, or military service.

To Apply:

All interested candidates should submit a cover letter and resume through the Bank’s FedCareers website and apply to requisition #260727.