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Model Risk Director

Company: DTCC
Location: Jersey City
Posted on: May 18, 2020

Job Description:

Are you ready to explore a

world of possibilities?

Join our DTCC family, and you'll

grow your expertise and become the best version of you. As you embark on a new

journey, you'll tackle challenges with flexibility and grace, learning new skills

and advancing your career while having the time of your life.

About this Opportunity - Model Risk Director (#200356)

We

are looking for a Director 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

incumbent will 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.

Your Responsibilities:



  • Work with head of MVC to set up quality control standards
  • Manage Quality Control team within MVC group
  • 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")
  • Mitigates risk by following established procedures, spotting key

    errors and demonstrating strong ethical behavior.

    Qualifications:



    • 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).
    • Knowledge of prepayment modeling, MBS pricing and risks is a plus.
    • Experience and expert knowledge on VaR modeling and VaR model back

      testing methodologies
    • Strong mathematical background, especially in probability theory,

      stochastic processes, and PDE's.
    • 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++
    • Excellent written and oral communication and presentation skills,

      ability to communicate quantitative concepts to financial professionals
    • Prior team management experience is required
    • Ideally the incumbent should be familiar with the regulatory

      requirements in terms of model risk management (SR11-7) and SEC Covered

      Clearing Agency Standards
    • Be a strategic thinker with vision having the ability to identify

      problems and provide strategic solutions and carry out change management

      projects.

    • Diligent, detail oriented and able to function under pressure. Able

      to carry out hands-on analytics work to check, benchmark, and enforce

      discipline.
    • Minimum of

      10 years of related experience, ideally in risk analytics, model

      validation or front office quant modeling
    • A Ph.D. or a

      Master's degree in quantitative finance, economics, or other quantitative

      fields. A Ph.D. is preferred.


      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.




Keywords: DTCC, Jersey City , Model Risk Director, Executive , Jersey City, New Jersey

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