Quantitative Analytics Manager

About this role

The selected candidate (manager) will lead and manage the model development teams within Market Risk Analytics (MRA) and Counterparty Credit Risk Analytics (CCRA), and Analytics and Infrastructure Engineering (AIE) functions within MCRA.

The manager will provide oversight to the team responsible for developing all market risk models used for internal risk management, regulatory capital market risk models used for internal risk management, regulatory capital calculation, and CCAR analysis.

Additionally, the manager will provide oversight to the team that measures counterparty credit exposure for risk limit control, stress testing, and CCAR.

The manager will also guide the team for the analytics framework design, model tests library development, analytic data infrastructure construction, and relevant systems implementation.

• Lead and manage team(s) responsible for developing market risk and counterparty credit risk models and analytics and engineering that supports model implementation and testing, including work on relevant products in interest rates, credit, CVA, equities, foreign exchange, and commodities.
• Lead a group to develop and support modeling in traded risk space (market and counterparty credit) to effectively manage risk. Perform model research and development tasks to improve model performance.
• Communicate with model owners and business leaders on model use. Collaborate with technology team and model owners to release models into production. Work with model validation teams to remediate risk findings.
• Design and specification of market risk, counterparty risk, and corresponding capital models such as General and Stressed VaR, Potential Future Exposure (PFE), Specific Risk, and Incremental Risk Charge.
• Support trading desk risk management, stress test system, scenario design and implementation, and market risk factor simulation.
• Design and maintain risk analytics models used for trading desk risk oversight and regulatory capital reporting.
• Work collaboratively with the Front Office model developers, risk managers, model validators, and risk technology to develop, implement, review, test, and monitor these models as part of the model development and use cycle.
• Provide oversight to the quant teams responsible for researching, developing, testing, analyzing, monitoring, tool-building, and documentation.

• 12-15 years of relevant experience in model development, model validation or quantitative analytics in banking and financial services industry.5+ years of model development experience in either market risk or counterparty credit risk, including leadership or management experience.
• Master's degree or PhD (preferred) in a STEM field.
• Deep knowledge and hands on experience in market risk modeling, counterparty risk modeling, or both.
• Have a background in leading and managing technical quant teams and providing thought leadership to perform advanced quantitative analysis and model development responsibilities.
• Strong verbal and written communication skill to engage with a variety of stakeholder.
• Strong analytical skills with high attention to detail and accuracy
• Ability to mentor and provide technical assistance to a team that interfaces with a broad set of stakeholders across the firm for process and project management.
• Experience in establishing teams and designing processes aligned with contemporary agile methodologies such as Kanban and Scrum.
• Programming skills using Python/SQL/Excel/Java/R

• Leadership and project management experience
• Experience in coaching and developing team to effectively prioritize work, meet deadlines, achieve goals, and work under pressure in a dynamic and complex environment.