Regulatory Policy Economist - Supervision and Regulation Department

Federal Reserve Bank of Chicago
Chicago - United States
S: Competitive

Job Summary
More than ever, banking supervision runs on big data. Whether modeling wholesale credit risk for Dodd Frank Act Stress Testing (DFAST), probing the inner workings of models used by large banks or conducting research on better ways to monitor financial stability, the Wholesale Credit Risk Center (WCRC) engages with cutting edge technology in innovative ways to foster a more efficient and stable financial system. As such the WCRC is looking for enthusiastic, technically skilled individuals willing to break new ground in the supervisory landscape.

Particularly, this role would provide leadership in two broad activities that are critical to the success of the WCRC at the Federal Reserve Bank of Chicago. The first activity is the research, development and implementation of supervisory models used to monitor risk in the financial system. These models include those used in bank stress testing as well as those used to track asset quality at the portfolio level. The second activity is conducting independent assessments on the complex quantitative methodologies financial institutions use to capture, measure and translate their wholesale exposures into estimates of potential loss under a range of stressful scenarios.

Department Overview
The WCRC, housed within Supervision and Regulation, plays a critical role in the Federal Reserve System's core mission of maintaining a healthy financial system. The Federal Reserve is mandated to foster the stability, integrity and efficiency of the nation's monetary, financial and payment systems to promote optimal economic performance. Recently, this has seen us take a more macro-prudential approach to banking supervision. To this end, the WCRC collects and analyzes portfolio risk data, provides a horizontal perspective of wholesale credit risk management practices and supports supervision of capital adequacy and stress testing for wholesale credit exposures. Staff of the WCRC form the core of System teams that develop loss models for wholesale lending and assess such modeling efforts at systemically important financial institutions.

Essential Duties
· Developing and implementing supervisory models around wholesale credit
· Supporting Federal Reserve System initiatives related to Dodd Frank Act (DFAST) and Comprehensive Capital Assessment Review (CCAR) stress testing exercises
· Developing credit portfolio analytics and conducting empirically-based studies to support the assessment of risk in wholesale lending activities of large bank holding companies
· Participating in the bank supervisory process by providing quantitative expertise in the evaluation of industry practices on wholesale credit risk management and quantification methodologies of advanced risk management frameworks for large, complex and specialized banking organizations
· Periodically sharing technical knowledge and horizontal perspective gained from examinations to internal and external audiences
· Serving on Department, System or interagency committees and workgroups related to technical areas of specialty

Education & Experience:
· Bachelor's degree or equivalent experience as noted below (PhD, or post masters course work in quantitative modeling or statistical analysis fields highly preferred)
· Without a PhD,10-15 years of direct related work experience including examination or risk management experience with a significant focus in model development, validation and use in the financial services industry;
a PhD in Economics, Statistics, Mathematics may be substituted for some of direct experience
· Econometric modeling experience with large datasets is required including demonstrated use of one or more of the following: Matlab, C++, SAS, S-PLUS/R, Stata, SQL.

Knowledge & Skills:
· Significant Knowledge of Modeling
· Proven analytical thought processes and ability
· Ability to work collaboratively within and across work teams
· Strong oral and written communication abilities
· Ability to develop sound recommendations for action based on analysis of complex data and information

Other Requirements
· Applicants must be U.S. Citizens or permanent residents with the intent to become U.S. Citizens
· Up to % travel is required

Job summary