Sr Quantitative Analyst, Stress Testing Modeling & Analysis - Division of Supervision & Regulation - 22934

  • Federal Reserve Board
  • Washington, District of Columbia
  • Mar 21, 2022
Full time Financial Analyst Government Information Technology

Job Description

DESCRIPTION/RESPONSIBILITIES:
Quantitative Analysts work under regular guidance to design and perform quantitative analysis including statistical modeling and data analysis in support of the Board's mission, Division goals, and Section objectives. Quantitative Analysts provide guidance and mentorship to new or junior staff. Quantitative Analysts serve as the primary contributor and may lead projects and teams across the Board of Governors. Quantitative Analysts prepare and deliver communications including presentations and recommendations to others in the Section/Division and/or to external stakeholders. Some travel may be required.

Quantitative Analysts perform the following responsibilities independently:
1. Perform quantitative analysis including statistical modeling and data analysis in support of FRB mission, Division goals, and Section objectives.
2. Prepare and deliver clear, accurate and concise communication orally and in writing.
3. Share information and work for Section/Project Teams/Division or external stakeholders.
4. Serve as primary contributors and may lead projects or teams in the accomplishment of work.
5. Provide guidance to junior or new staff.
6. Represent the Section or Division on group projects or task forces.
7. Advise senior staff and managers.
8. Demonstrate areas of domain expertise and technical skills.

9. Statistical Modeling:
• Exhibit an advanced understanding of sophisticated statistical modeling techniques
• Carry out a variety of aspects of the model life cycle including design, implementation, testing, production, validation, and assessment of models
• Analyze and interpret results from models or a system of models
• Document model features, assumptions, operational processes, and results

10. Data Analysis:
• Design and implement efforts related to data analytics.
• Perform data extraction, cleaning, and organization
• Produce charts, graphs, and other visualization techniques to analyze data
• Identify relevant issues, trends, relationships between key variables, and draw conclusionsincluding degree of importance

11. Quantitative Implementation:
• Design and implement processes for scaling and automating modeling and production frameworks
• Manage, construct, and query data sets
• Create systems and guidelines for ensuring reproducibility of model results and analysis

12. Financial Analysis:
• Serve as subject matter expert to inform data-driven policy decisions
• Conduct research related to the financial sector, institutions, and regulation
• Respond to requests from senior management related to data, model results, operational processes, policy, and emerging risks in financial institutions and markets

13. Knowledge sharing and training of others:
• Present work at forums within and across Divisions to share knowledge with others
• Provide guidance and mentorship to new or junior staff.

REQUIRED SKILLS:
Requirements: Bachelor's degree in quantitative subject such as computer science, statistics, mathematics, physics, engineering, or degree in another subject such as finance, economics or relevant quantitative background. Minimum of 4 years of related experience or a master’s degree in a related field and 3 years of related experience (FR-26) or minimum of 5 years of related experience or a master’s degree in a related field and 4 years of related experience. Proficiency in computational/statistical programming (FR-27). Experience working with large and complex data sets, including the ability to query databases.

Remarks:
This Quantitative Analyst role in the Stress Testing section in Supervision and Regulation will support the quantitative stress tests of bank portfolios related to the Federal Reserve’s responsibilities under the Dodd-Frank Act and ongoing bank supervision.

The analyst will be assigned to perform the following duties:
• Research, modify, test, and document models and systems used in the stress test;
• Execute stress test models and conduct analysis of model outputs to better inform ongoing bank supervision; and/or
• Assess and analyze regulatory collection and other data used in the stress test.

The ideal candidate will have strong analytical and communication skills; a high level of intellectual curiosity; a demonstrated potential to conduct analysis of banks using large datasets; and a solid conceptual understanding of statistical and econometric concepts and market and/or credit risk. The position will require flexibility to work extended hours to meet deadlines, especially during the stress test production quarter (currently April - June).

Specifically, the ideal candidate will meet several of the following:
• Demonstrated knowledge of statistical and econometric modeling techniques and approaches.
• Experience with data management and database management tools (such as Microsoft SQL Server).
• Proficiency in one or more statistical programming languages (especially R and/or SAS) is required, and the ideal candidate will have experience using scripting languages (such as Python), Linux, and a version control system (such as Git).
• Ability to write and communicate clearly, deliver effective presentations, and conduct research.
• Strong interpersonal skills, including the ability to work in a group setting in a matrix environment while accomplishing multiple goals within established and changing deadlines.
• Familiarity with modern revenue and/or risk modeling practices and industry standards.
• Familiarity with bank regulatory capital measures and US GAAP accounting standards.

A written assessment/sample may be requested during the interview process.

Full COVID19 vaccination is required as a condition of employment, unless a legally required exception applies.