Executive Director: Model Developer, Market Risk - Corporate & Investment Banking (CIB)
New York, United States of America
Position Summary:
Model Developer inside of the Market Risk Area reporting to the CIB Market Risk Director. The position will help in the development of new global models needed in the US. The position will be working closely with the traders and the Corporate Model Development team. Once the model is developed, documentation around the model needs to be written including the appropriate testing. Documentation and testing will be presented to Model Risk Management for approval. Also, the position will help in the IT implementation of the model.
Primary duties and responsibilities:
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- Valuation model design and definition and market information search.
- Development of financial instruments valuation models for risk calculation and adjustments calculation.
- Development of analysis tools and prototypes of the defined models (mainly in Python).
- Collaboration with the market risk and technology team for its correct implementation in systems.
- Quantitative analysis to test the adequacy of the hypotheses of the models, their robustness and stability.
- Preparation of the detailed documentation of the models.
- Quantitative support to the different participants of the model development process: Internal Validation, Audit, ECB, market risk management departments.
Experience:
- 12+ Years Risk Management, Risk Modeling, etc.
- Experience in the development of models.
- Extensive experience in the modeling of the valuation of financial products and / or market risk management.
- Extensive knowledge of market products, obtaining inputs for valuation and market information systems (Bloomberg, Reuters, etc.).
- Development of analysis tools and prototypes of the defined models (mainly in Python).
- Experience in Market Risk Capital calculation models (Basel Capital Rules).
Education:
- Bachelor's degree (or equivalent) in Economics, Mathematics, Physics, Engineering, or a related field.
- Doctorate or Master's degree in Finance or a related field is preferred.
Skills & Knowledge:
- Solid programming knowledge, preferably in Python.
- Knowledge in Spanish will be a plus.
- Knowledge in external vendor tools as Murex and Polypath will be a plus.
- Knowledge in Leverage finance, equity swap derivatives will be a plus.
Diversity & EEO Statements:
At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams. We actively encourage everyone to apply.
Santander is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, genetics, disability, age, veteran status or any other characteristic protected by law.
Working Conditions:
Frequent Minimal physical effort such as sitting, standing and walking. Occasional moving and lifting equipment and furniture is required to support onsite and offsite meeting setup and teardown. Physically capable of lifting up to fifty pounds, able to bend, kneel, climb ladders.
Employer Rights:
This job description does not list all of the job duties of the job. You may be asked by your supervisors or managers to perform other duties. You may be evaluated in part based upon your performance of the tasks listed in this job description. The employer has the right to revise this job description at any time. This job description is not a contract for employment and either you or the employer may terminate at any time for any reason.
For NYC Job Applicants: The base annual salary range for this position is $149,325-$235,000. The exact compensation may vary based on skills, experience, training, licensure and certifications and location.
Masters of Science (MS) English
Primary Location: New York, NY, Madison Ave Corp
Other Locations: New York-New York
Organization: Banco Santander S.A.
AN EQUAL OPPORTUNITY EMPLOYER M/F/Vet/Disabled/SO