Model Risk Director
- Jersey City, NJ
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About this Opportunity - Model Risk Director (#200356)
We are looking for a Director 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 incumbent will work closely with the validation team within MVC group to perform quality control testing over the validation work performed by the validators to ensure the validation work is up to the standards as defined by DTCC Model Risk Management policy, Model Validation Procedures and regulatory requirements.
- Work with head of MVC to set up quality control standards Manage Quality Control team within MVC group Perform quality control testing on the validation work to ensure the compliance with internal and external requirements Enforce DTCC model documentation standards across the firm and identify gaps and create action plans to remediate the gaps Perform data review and control and act as liaison between the validation team and Data Integrity team to set up monitoring thresholds Present quality control and data review results and resolutions to Model Risk Governance Council ("MRGC") 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. 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++ Excellent written and oral communication and presentation skills, ability to communicate quantitative concepts to financial professionals Prior team management experience is required Ideally the incumbent should be familiar with the regulatory requirements in terms of model risk management (SR11-7) and SEC Covered Clearing Agency Standards Be a strategic thinker with vision having the 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 risk analytics, model validation 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 www.dtcc.com or connect with us on LinkedIn, Twitter, YouTube and Facebook.
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