THE DEPOSITORY TRUST & CLEARING CORPORATION SEEKS:
Title: Quantitative Analyst
Job Duties:
Serve as a model validation analyst in the model validation team within Model Risk Management (“MRM”) group at DTCC, which is responsible for all aspects of model risk management activities including governance, reporting, model inventory, model validation and model performance oversight.
The model validation analyst will work closely with the model owner and model developer to perform hands-on validation and review of models in the model inventory according to the model validation procedures and standards under the supervision of a director in the model validation team. At the end of each validation and review, the validator will write a quality model validation report summarizing the validation scope, procedures, tests, findings and resolutions, and conclusion. The validator will also present the results to the Model Risk Governance Council (“MRGC”) for review and discussion.
Responsibilities:
- Perform hands-on validations and reviews, write quality model validation reports
- Work with the model owner, model developer and model user on all issues of model validation and issue resolution.
- Prepare model validation and review presentations to the Model Risk Governance Council (“MRGC”) meetings for model approval, model issue tracking and resolution.
- Present model validation and review results and finding resolutions to the Model Risk Governance Council (“MRGC”)
- Challenge the model performance and methodologies at MRGC review meeting Follow DTCC’s ITIL process for incident, change and problem resolution.
Job Requirements: Master’s degree in Quantitative Finance, Economics, Financial Risk Management or related quantitative field and 3 years of experience in the job or related position. Prior experience to
include:
- Model validation, risk analytics or front office quant modeling.
- Banking, financial institutions, financial instruments or markets.
- Quantitative finance on valuation models (curve building methodologies, term structure models, option models, or credit models), or risk management models and methodologies (greeks, VaR, back testing, or stress testing).
- Mathematical concepts, especially in probability theory, stochastic processes, or PDE’s.
- Econometric modeling or applied statistics skills (i.e. estimation, time series modeling, or Monte Carlo simulation techniques, etc.)
- Matlab, Excel (VBA), SQL, R, Python or C++.
Telecommuting may be permitted a few days a week. When not telecommuting, must report to DTCC’s office in Jersey City, NJ.
LOCATION: Jersey City, NJ. Telecommuting may be permitted a few days a week. When not telecommuting, must report to DTCC’s office in Jersey City, NJ.
SALARY: $140,000 - $146,000 per year.
APPLY: Please e-mail resume with cover letter to DTCC at TalentAcquisition@dtcc.com, reference Job Code 8176426 / Quantitative Analyst/ Jersey City, NJ
