Data Scientist / Senior Data Scientist

Federal Reserve Bank of Philadelphia•Atlanta, GA

1d•Onsite

About The Position

Under general supervision, leads and participates in on- and off-site reviews of the development, use and validation of models, related quantitative risk management practices and governance at bank holding companies (BHCs) and presents findings to those companies and Federal Reserve management. Contributes to building perspectives on industry modeling approaches for a variety of business problems. Actively participates in Federal Reserve System reviews of regulated firms’ capital adequacy (e.g. CCAR, DFAST, stress testing) and conducts additional quantitative analysis related to capital adequacy processes of large BHCs, including the analysis of loss estimation and pre-provision net revenue methodologies. Serves as an internal consultant to examination staff, Department officers, and Reserve Bank management and assists in the execution of Bank supervision and regulatory policy. The Bank believes in flexibility to balance the demands of work and life while also recognizing the necessity of connecting and collaborating with our colleagues in person. Onsite work is an essential function of this position, and you are required to be onsite according to the schedule set by your management.

Requirements

Bachelor's Degree
Two years to Five years Experience
Quantitative skills and knowledge of statistical methods/tools for developing and validating risk management and capital stress models
Project Management Skills
Comprehensive Modeling
Demonstrates Self-Awareness
Problem Solving
Action-Oriented
Collaborates
Communicates Effectively

Nice To Haves

Master's Degree preferred
Proficient with at least one widely used statistical or mathematical programming language (such as SAS, R, MATLAB, etc.) preferred

Responsibilities

Leads and participates in on- and off-site reviews of the development, use and validation of models, related quantitative risk management practices and governance at bank holding companies (BHCs) and presents findings to those companies and Federal Reserve management.
Contributes to building perspectives on industry modeling approaches for a variety of business problems.
Actively participates in Federal Reserve System reviews of regulated firms’ capital adequacy (e.g. CCAR, DFAST, stress testing) and conducts additional quantitative analysis related to capital adequacy processes of large BHCs, including the analysis of loss estimation and pre-provision net revenue methodologies.
Serves as an internal consultant to examination staff, Department officers, and Reserve Bank management and assists in the execution of Bank supervision and regulatory policy.
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.