Senior Risk Analytics Analyst – Credit and Payment Risk recruitment
The Federal Reserve Bank of New York is seeking an experienced professional to join the Risk Analytics team as a Senior Risk Analytics Analyst. The Senior Risk Analytics Analyst will design and implement validations of the Bank's financial risk and valuation models.
The Senior Risk Analytics Analyst will report to the Risk Analytics Officer.
Responsibilities
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Design and implement validations of the Bank's financial risk and valuation models used to support the Bank's monetary policy and financial stability objectives, the Bank's supervisory responsibilities, and the Bank's risk management functions
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Provide expert reviews and analysis of all components of financial models including model theory (assumptions used, methodology, documentation) and model implementation (input data, implementation decisions, model code, model outputs, and model accuracy)
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Identify and explain model limitations and highlight potential improvements in model design, implementation, coding, output reporting, and documentation
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Assess and inform with respect to regulatory or market developments that impact model performance
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Work with external vendors to evaluate proprietary vendor risk and valuation models
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Develop and maintain validation project plans and inventories as well as prepare in-depth documentation and records of validation activities
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Maintain and contribute to the Bank's model control environment
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Effectively communicate and collaborate with stakeholders including model developers, the Bank's Risk Management and Audit functions, and the Bank's external auditors
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Provide clear and concise written and verbal communication of technical observations to senior bank management and stakeholders to inform policy recommendations based on quantitative analysis
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Collaborate as needed with asset-class risk analysts and business teams to develop specific risk analysis tools and models
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Contribute to periodic price verification analysis, as needed.
Skills
- Master's degree or Ph.D. in Economics, Statistics, Finance, Financial Engineering, or Business preferably with an emphasis on quantitative risk or valuation modeling
- At least ten years work experience in risk management or related function, preferably with management experience
- Experience building and maintaining pricing, credit, and market risk models for loans, securitized products, and derivatives: credit risk models (default, loss severity, ratings transitions), market risk models (price risk, VaR, stress testing), prepayment models
- Background in econometric modeling (regression analysis, time-series modeling, volatility models, cross-sectional models, multivariate models, and multivariate Monte-Carlo simulation)
- Experience with analysis of asset-backed securities, commercial loans, commercial and residential real estate loans, residential mortgage-backed securities, commercial mortgage-backed securities, collateralized debt obligations
- Up-to-date knowledge of financial markets, financial institutions, and macroeconomic policy
- Experience in statistical or financial modeling and database management (using SAS, Stata, MatLab, C++, VBA, SQL, etc.) Experience with industry data management and modeling tools (e.g., Bloomberg, Intex) is preferred
- Excellent critical thinking and communication skills (written and verbal), including an ability to summarize highly technical concepts clearly and concisely
- Willingness to blend technical insight with practical requirements and assessments of materiality; comfort evaluating judgmental or qualitative considerations of the modeling process
- Ability to work across teams and in a collaborative environment in an honest, credible and professional manner
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.