Senior Quantitative Analyst
- Jersey City, NJ
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About this Opportunity
We are looking for a senior quantitative analyst 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 senior quantitative analyst will support the Director of Quality Control and 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. This position will also have frequent interactions with multiple internal and external stakeholders such as Quant groups, Product Risk, IT, Management, Clients, Internal Audit and our Regulators. Successful candidate is expected to quickly achieve a comprehensive understanding of DTCC's businesses and be able to apply industry best practices to DTCC's business context.
- 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")
- Interface with auditors and regulators on the quality control aspect of model validation and data review
- Any other ad hoc analyses, reviews and validations
- Mitigates risk by following established procedures and monitoring controls, spotting key errors and demonstrating strong ethical behavior.
- Knowledge of prepayment modeling, MBS pricing and risks is a plus.
- Experience and expert knowledge on VaR modeling and VaR model back testing methodologies
- 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++
- Must have excellent interpersonal skills and can work in an efficient and organized way.
- Ability to work independently and under pressure
- Ideally the incumbent should be familiar with the regulatory requirements in terms of model risk management (SR11-7) and SEC Covered Clearing Agency Standards
Talents Needed for Success:
- Excellent written and oral communication and presentation skills, ability to communicate quantitative concepts to financial professionals
- 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).
- Strong mathematical background, especially in probability theory, stochastic processes, and PDE's.
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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