Risk Analytics Associate, Federal Reserve Bank of New York
Posted date [Aug-16-2017]
(ID: 4688)
Risk Analytics Associate

Federal Reserve Bank of New York


The Federal Reserve Bank of New York is seeking a skilled professional to join the Portfolio Risk and Valuation team within the Risk Group.

The Risk Group assesses the Bank's financial and operational risks, and supports policy development and oversight related to systemically important payment, clearing and settlement activity. Within the Risk Group, the Portfolio Risk and Valuation Team is responsible for providing independent second-line oversight of credit and market risk management activities across the Bank related to the Bankās direct and indirect asset holdings. This includes assessment of the market, credit and valuation risk of the Bankās balance sheet, fair value analysis to support the Bankās financial reporting, and provision of industry best practice standard valuation support to FRBNY lending facilities.

Job Responsibilities

The Portfolio Risk and Valuation Associate will report to the Portfolio Risk and Valuation Team leader.

Responsibilities include:
ā¢ Independent review and oversight of market and credit risk management activities related to Bankās asset portfolio holdings and indirect asset exposures
ā¢ Design and development of risk modeling and valuation methodologies for complex portfolios comprised of a variety of financial instruments, and establishment of price variance thresholds calibrated to asset types
ā¢ Maintenance and implementation of existing valuation and risk management procedures, identifying and incorporating new ideas and technologies to improve existing methodologies
ā¢ Identification of vendor pricing limitations and weaknesses, and engagement in productive discussions with vendors to resolve discrepancies
ā¢ Clear, concise written and verbal communication of valuation analysis and risk identification/assessment results and findings
ā¢ Participation in design and documentation of internal credit risk, market risk, and price verification procedures and policies
ā¢ Collaboration with team members on ongoing projects to support team objectives

ā¢ Bachelorās degree in mathematics, finance, economics, statistics, computer science or a related discipline with a minimum of four years of relevant work experience; Masterās degree in related area preferred
ā¢ Strong knowledge of valuation approaches for derivatives, securitized products (e.g., mortgage-backed securities) and other fixed income financial instruments, as well as loans
ā¢ Related experience in market and/or credit risk assessment, reporting and mitigation
ā¢ Programming skills required, preferably in SAS, STATA, MATLAB, PYTHON or R.
ā¢ Experience designing and debugging complex Excel spreadsheets that include VBA code
ā¢ Background in statistics or econometric modeling.
ā¢ Proven ability to work well in a team environment, complete assignments independently, manage multiple responsibilities, and effectively track and communicate project status with stakeholders
ā¢ Strong written and oral communication skills
ā¢ Familiarity with Bloomberg, Intex and other analytic tools a plus.

https://frb.taleo.net/careersection/02b_external/jobdetai l.ftl?job=251028&src=JB-10080 .

Candidates will not contact you directly. Any relevant candidates will be forwarded by our staff.
Job Title Risk Analytics Associate, Federal Reserve Bank of New York
Post Details
Start Date
Job Type Job Type -> Full-time
Experience Level
Classification Job Classification -> Other
Required Qualifications
Desired Qualifications