Overview
The role contributes to highly visible enterprise-wide modeling programs, for Corporate Treasury - Asset Liability Management, focusing on CCAR Stress Testing. The role will contribute to the annual CCAR stress test execution, the mid-cycle stress test, as well as various projects throughout the year. The candidate will join a talented global team of Treasury personnel responsible for the company's asset and liability management, capital management, interest rate and liquidity risk management.
The role will be to execute corporate-wide standards for model development. The incumbent will be responsible for leading work to identify problems that can be solved by the application of financial theory and the building of models which improves the firm's operations. This will entail investigating and selecting frameworks best suited to solve a problem and deciding on the scope of the solution. The incumbent may work in one or more of following disciplines, each responsible for a different type of modeling: 1) Treasury Modeling 2) Interest Rate and Liquidity Risk Modeling 3) CCAR Stress Testing 4) Forecasting.
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Execute corporate-wide standards for model development, by setting the scope of a development effort. This entails determining the frameworks that will be used, the source data that should be collected, assumptions that must be made, and the outcomes that need to be reviewed. Evaluate the strengths and weaknesses of framework options and identify which is most likely to meet the needs of the business.
Reviews accuracy of reports and calculations performed by less experienced colleagues, ensures proper model documentation is being put in place. Support the use of models, the incumbent is expected to execute models in accordance with approval conditions and communicate results to management.
Support the validation of models, the incumbent is expected to provide testing and analysis at the request of Model Risk Management. The incumbent will be responsible for performance monitoring of models, identifying possible deteriorating by comparing outcomes to established thresholds.
Responsible for the technical direction, accuracy and soundness of quantitative methods in the assigned area. Decisions and assumptions recommended by the incumbent have significant impact on the financial and risk position of the Bank or legal entity supported.
This position has direct reports, and the candidate will be managing a team of analysts.
Qualifications
Master's Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, economics.
The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills.
Minimum 8 years of modeling experience in financial services industry.
Must have experience with complex quantitative modeling, numerical analysis, and programming/statistical languages (such as Python, SAS, R).
Must be extremely focused, detail oriented, results oriented and highly productive. Must have a proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time.
The candidate must have excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language.
Employer Description:
For over 230 years, the people of BNY Mellon have been at the forefront of finance, expanding the financial markets while supporting investors throughout the investment lifecycle. BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments and safeguards nearly one-fifth of the world's financial assets. BNY Mellon remains one of the safest, most trusted and admired companies. Every day our employees make their mark by helping clients better manage and service their financial assets around the world. Whether providing financial services for institutions, corporations or individual investors, clients count on the people of BNY Mellon across time zones and in 35 countries and more than 100 markets. It's the collective ambition, innovative thinking and exceptionally focused client service paired with a commitment to doing what is right that continues to set us apart. Make your mark: bnymellon.com/careers.
EEO Statement:
BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer. Minorities/Females/Individuals With Disabilities/Protected Veterans. Our ambition is to build the best global team - one that is representative and inclusive of the diverse talent, clients and communities we work with and serve - and to empower our team to do their best work. We support wellbeing and a balanced life, and offer a range of family-friendly, inclusive employment policies and employee forums.