Overview Quantitative Modeler, Counterparty Credit Risk Job Description
This is a highly visible position within Counterparty Credit Risk group, we are looking for talented and creative quantitative modelers who will be responsible for implementation, maintenance, and debugging of Bank of New York Mellon main model for its counterparty risk exposure and market risk framework that include credit and liquidity risk components as well.
The model use includes regulatory reporting purposes such as SCCL and Basel; key input to management decisions and reporting to Senior Management and the Board of Directors on a regular basis. The candidate must be able to provide intellectual leadership in terms of conducting cutting-edge research, identifying latest trends and developments in modeling, and recommending alternative solutions to analytically challenging problems. The incumbent should be an expert in risk management concepts and quantitative modelling area. Key responsibilities include:
- Market Risk Modeling and Pricing of a wide variety of financial asset classes, PFE and VaR calculations for counterparty credit limit
- Perform backtesting, benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic
- Communicating with trading desks and legal department to understand the business and legal aspects of the trades that could impact in risk aggregation,
- Interact with technology for market data standard and model integration, and also model risk management group for timely delivery of model maintenance
A successful candidate needs to demonstrate his/her ability to solve complicated modeling problems. A Ph.D. or Master degree in mathematics, physics, engineering, or other quantitative field is a plus, but not an absolute requirement.
- Strong quantitative background and creative problem solving skills with an ability to describe complex systems in simple terms.
- Advanced experience in programming languages (Python, C/C++, R, MATLAB)
- Ability to work in a high-pressure environment and a good team player.
- Must be extremely focused, detail oriented, results oriented and highly productive.
- Prior experience of financial products such as RMBS/CMBS/ABS is a plus.
- Excellent communication and writing skills.
For over 230 years, the people of BNY Mellon have been at the forefront of finance, expanding the financial markets while supporting investors throughout the investment lifecycle. BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments and safeguards nearly one-fifth of the world's financial assets. BNY Mellon remains one of the safest, most trusted and admired companies. Every day our employees make their mark by helping clients better manage and service their financial assets around the world. Whether providing financial services for institutions, corporations or individual investors, clients count on the people of BNY Mellon across time zones and in 35 countries and more than 100 markets. It's the collective ambition, innovative thinking and exceptionally focused client service paired with a commitment to doing what is right that continues to set us apart. Make your mark: bnymellon.com/careers.
BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer. Minorities/Females/Individuals With Disabilities/Protected Veterans. Our ambition is to build the best global team - one that is representative and inclusive of the diverse talent, clients and communities we work with and serve - and to empower our team to do their best work. We support wellbeing and a balanced life, and offer a range of family-friendly, inclusive employment policies and employee forums.