federal reserve system

[Som]

Hi,

I was wondering whether anybody had any ideas on what quantitative work is focused on the SEC and the federal reserve? They seem to be hiring quantitative risk analysts in quite a few of the fed reserve banks across the states but their job descriptions are not very clear

 

[Ken Abbott]

Look at the Basel website for models, I posted some links a few days ago. Much quant work there is focused upon new reg models.

Reg quants also review var and stress models as well as each firm's model review process.

 

[Som]

Thanks Ken!

 

[Ken Abbott]

Also: Read OCC 2011-12 Fed SR11-7. That document describes the collective wisdom of 11 years of model risk regulation. The line items in that paper describe what Fed/OCC model reviewers look at. As one often subject to the occasionally harsh glare of their exam spotlights, I can tell you it's a pretty comprehensive document. Contact me privately if it leaves you with any questions.