fhlbsf
12-18-2007, 12:57 PM
Purpose
Validate the Bank’s financial models. Support the integrity of the Bank’s business activities by coordinating compliance with model validation policies. Participate in the ongoing development and administration of risk management programs, with responsibilities focused on the identification, measurement, management, and mitigation of the risks presented by business activities.
Major Accountabilities
Perform and complete the annual model valuation planning and risk assessment process.
Develop the annual model valuation plan for the approval of the Risk Monitoring Committee (RMC).
Maintain a current inventory of significant models.
Plan, execute, and complete individual model validations in a timely manner as specified in the annual plan. For each model, prepare a complete written report, documentation of testing performed and updated risk notebooks.
Provide support and assist outside consultants during validations such as:
Ensure consultants are familiar with and use the Bank’s validation framework
Gather requested information for review by consultants
Perform benchmarking where necessary
Organize entry and exit meetings
Complete the final report, gather and document work papers, and develop and/or update the model risk notebook.
Develop a complete inventory of products and key assumptions and limitations of both front office and independent modeling approaches.
Identify and participate in model implementation projects and submit status reports on a bi-monthly basis.
Report on results of Independent Model Reviews to the RMC.
Maintain and follow up on open action items.
Resolve and address all regulatory inquires.
Perform other duties or projects as may be assigned.
Skills/Knowledge
Bachelor’s degree in Financial Engineering, Quantitative Finance, a related field, or equivalent education required. Master’s degree and/or Certified Financial Analyst (CFA) professional certification preferred.
Seven to ten years of progressively responsible experience in quantitative financial research, model development, and model validation. Knowledge of structured financial instruments (CDO, MBS, ABS, RMBS) as well as corporate finance and capital adequacy for financial institutions required.
Demonstrated quantitative financial knowledge in the following financial models: stochastic interest rate, prepayment, spread, default, and cash flow.
Excellent verbal and written communication skills with strong analytical and problem solving skills. Ability to analyze, apply, interpret, and communicate complex technical results to non-quantitative audiences and develop presentations of all models to ensure management’s understanding of operation, testing, purpose, and outputs of models.
Demonstrated project management skills to include working within short timelines and under pressure at times. Ability to work both independently and as a team member with all business units.
Excellent financial modeling and empirical research skills with hands-on experience in model validation/quality assurance systems.
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The Federal Home Loan Bank of San Francisco helps meet the borrowing needs of communities by providing wholesale credit products and services to member financial institutions. The Bank is privately owned by its members, which include commercial banks, savings institutions, credit unions, thrift and loan companies, and insurance companies headquartered in Arizona, California, and Nevada. We are part of a network of 12 regional Federal Home Loan Banks chartered by Congress in 1932 to provide low-cost credit to residential housing lenders.
We support affordable housing and economic development through partnerships with local communities. As part of this effort, we contribute 10% of our income to the Affordable Housing Program, which provides grants to create affordable housing for lower-income households.
www.fhlbsf.com
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The Federal Home Loan Bank of San Francisco is an Equal Employment Opportunity employer and is committed to a diverse workforce. We value and actively seek to recruit, develop, and retain individuals with varied backgrounds and experiences reflecting the full diversity of the communities that we serve.
Please reference job posting “355-BG-CFAForum” when submitting resume and cover letter.
Validate the Bank’s financial models. Support the integrity of the Bank’s business activities by coordinating compliance with model validation policies. Participate in the ongoing development and administration of risk management programs, with responsibilities focused on the identification, measurement, management, and mitigation of the risks presented by business activities.
Major Accountabilities
Perform and complete the annual model valuation planning and risk assessment process.
Develop the annual model valuation plan for the approval of the Risk Monitoring Committee (RMC).
Maintain a current inventory of significant models.
Plan, execute, and complete individual model validations in a timely manner as specified in the annual plan. For each model, prepare a complete written report, documentation of testing performed and updated risk notebooks.
Provide support and assist outside consultants during validations such as:
Ensure consultants are familiar with and use the Bank’s validation framework
Gather requested information for review by consultants
Perform benchmarking where necessary
Organize entry and exit meetings
Complete the final report, gather and document work papers, and develop and/or update the model risk notebook.
Develop a complete inventory of products and key assumptions and limitations of both front office and independent modeling approaches.
Identify and participate in model implementation projects and submit status reports on a bi-monthly basis.
Report on results of Independent Model Reviews to the RMC.
Maintain and follow up on open action items.
Resolve and address all regulatory inquires.
Perform other duties or projects as may be assigned.
Skills/Knowledge
Bachelor’s degree in Financial Engineering, Quantitative Finance, a related field, or equivalent education required. Master’s degree and/or Certified Financial Analyst (CFA) professional certification preferred.
Seven to ten years of progressively responsible experience in quantitative financial research, model development, and model validation. Knowledge of structured financial instruments (CDO, MBS, ABS, RMBS) as well as corporate finance and capital adequacy for financial institutions required.
Demonstrated quantitative financial knowledge in the following financial models: stochastic interest rate, prepayment, spread, default, and cash flow.
Excellent verbal and written communication skills with strong analytical and problem solving skills. Ability to analyze, apply, interpret, and communicate complex technical results to non-quantitative audiences and develop presentations of all models to ensure management’s understanding of operation, testing, purpose, and outputs of models.
Demonstrated project management skills to include working within short timelines and under pressure at times. Ability to work both independently and as a team member with all business units.
Excellent financial modeling and empirical research skills with hands-on experience in model validation/quality assurance systems.
*************************************************
The Federal Home Loan Bank of San Francisco helps meet the borrowing needs of communities by providing wholesale credit products and services to member financial institutions. The Bank is privately owned by its members, which include commercial banks, savings institutions, credit unions, thrift and loan companies, and insurance companies headquartered in Arizona, California, and Nevada. We are part of a network of 12 regional Federal Home Loan Banks chartered by Congress in 1932 to provide low-cost credit to residential housing lenders.
We support affordable housing and economic development through partnerships with local communities. As part of this effort, we contribute 10% of our income to the Affordable Housing Program, which provides grants to create affordable housing for lower-income households.
www.fhlbsf.com
************************************************** ***
The Federal Home Loan Bank of San Francisco is an Equal Employment Opportunity employer and is committed to a diverse workforce. We value and actively seek to recruit, develop, and retain individuals with varied backgrounds and experiences reflecting the full diversity of the communities that we serve.
Please reference job posting “355-BG-CFAForum” when submitting resume and cover letter.