Model Risk Director

    • Jersey City, NJ

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About this Opportunity - Model Risk Director (#200357)

We are looking for a Director level senior person to join the Model Validation & Control group ("MVC"), which is responsible for all aspects of Model Risk Management ("MRM") at DTCC from model governance & control, independent model validation to model performance monitoring ("MPM") and back testing ("BT"). The Director level incumbent will work closely with the Executive Director of model validation and review within MVC group to set firmwide MPM standards for all models across the firm and provide oversight of model performance monitoring activities including back testing and perform critical analysis to identify model issues and/or limitations.

Your Responsibilities:

    Manage the MPM review and non-models control team Set up and maintain firmwide MPM standards and provide oversight Review MPM metrics and provide approvals of MPM plans Review back testing methodologies and provide approvals Interface with the auditors and Regulators on all aspects of MPM review and oversight Present MPM review and oversight results and finding resolutions to the Model Risk Governance Council (MRGC) Challenge MPM reports at monthly MRGC review meeting Review low-tier models, non-models and enforce control Perform ad hoc analysis to identify model limitations and performance issues and recommend remediations Mitigates risk by following established procedures, spotting key errors and demonstrating strong ethical behavior
    Broad expertise in quantitative finance on valuation models (curve building methodologies, term structure models, option models, credit models), and risk management models and methodologies (Greeks, VaR, back testing, stress testing). Knowledge of prepayment modeling, MBS pricing and risks is a plus. D eep understanding of the regulatory environment surrounding model risk management (SR11-7 and SEC Covered Clearing Agency Standards) Experience and expert knowledge on VaR modeling and VaR model back testing methodologies Strong mathematical background, especially in probability theory, stochastic processes, and PDE's. Econometric modeling and applied statistics skills (i.e. estimation, time series modeling, Monte Carlo simulation techniques, etc.) High level of computer literacy, ability to work effectively with Matlab, Excel (VBA), SQL, R, Python or C++ Prior team management experience is required Be a strategic thinker with vision - ability to identify problems and provide strategic solutions and carry out change management projects. Diligent, detail oriented and able to function under pressure. Able to carry out hands-on analytics work to check benchmark and enforce discipline. Minimum of 10 years of related experience, ideally in model validation, risk analytics or front office quant modeling. A Ph.D or a Master's degree in quantitative finance, economics, or other quantitative fields. A Ph.D. is preferred.

Who We Are:

With over 45 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry. From operating facilities, data centers and offices in 16 countries, DTCC, through its subsidiaries, automates, centralizes and standardizes the processing of financial transactions, mitigating risk, increasing transparency and driving efficiency for thousands of broker/dealers, custodian banks and asset managers. Industry owned and governed, the firm simplifies the complexities of clearing, settlement, asset servicing, data management, data reporting and information services across asset classes, bringing increased security and soundness to financial markets. In 2018, DTCC's subsidiaries processed securities transactions valued at more than U.S. $1.85 quadrillion. Its depository provides custody and asset servicing for securities issues from 170 countries and territories valued at U.S. $52.2 trillion. DTCC's Global Trade Repository service, through locally registered, licensed, or approved trade repositories, processes over 14 billion messages annually. To learn more, please visit us at or connect with us on LinkedIn, Twitter, YouTube and Facebook.

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