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Director, Model Risk

Company: DTCC- The Depository Trust & Clearing Corporation
Location: Jersey City
Posted on: June 19, 2022

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 be supported and surrounded by other professionals as you learn new skills, advance your career, and see the impact of your efforts every day.Pay and Benefits:Competitive compensation, including base pay and annual incentiveComprehensive health and life insurance and well-being benefits, based on location Retirement benefits Paid Time Off and other leave of absence Flexible/Hybrid Work ArrangementsWhy you'll love this job:As a Director at DTCC, you would function as a senior leader on the model validation team within Model Risk Management ("MRM") group, which is responsible for all aspects of model risk management activities including governance, reporting, model inventory, model validation and model performance oversight.The Director level incumbent will work closely with the managing director of model validation to set -firmwide model validation standards -for all models across the firm and perform and supervise the independent model validation and reviews.This position has extensive people, project, and methodology responsibilities. It is a high-visibility position with frequent and in-depth interactions with multiple internal and external stakeholders such as Quant groups, Market and Liquidity Risk, IT, Management, Clients, Internal Audit, and our Regulators. Successful candidate is expected to quickly achieve a comprehensive understanding of the DTCC's businesses and be able to apply industry best practices to DTCC's business context.Your Primary Responsibilities:Set up and maintain firmwide model validation procedures, standards and templates. Maintain model validation schedule, coordinate and oversee model validation and review performed by the validators to ensure the timeliness, quality and effective challenge. Perform hands-on validations and reviews, write quality model validation reports and provide model approvals. 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) Interface with the auditors and Regulators on all aspects of model validation. Challenge the model performance and methodologies at monthly MRGC review meeting Perform ad hoc analysis to identify model limitations and performance issues and recommend remediations**NOTE: - The Primary Responsibilities of this role are not limited to the details above. **Talents Needed For Success:Minimum of 10 years of related experience, -ideally in model validation, risk analytics 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 preferredAdditional Qualifications:Familiar with banking, financial institutions, financial instruments and markets - - - - - - - - - - - - - - - - - - - - - - - - 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) - - - - - - - - - - - - - - Deep understanding of the regulatory environment surrounding model risk management (SR11-7 and -SEC Covered Clearing Agency Standards 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 Knowledge of prepayment modeling, MBS pricing and risks is a plusExperience on data science and Machine Learning technics/languages is desiredWho We Are:DTCC is the heart of the post-trade market infrastructure for the global financial services industry. From 21 locations all over the world, 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. In 2020, DTCC's subsidiaries processed securities transactions valued at more than U.S. $2.3 quadrillion.We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, sex, gender, gender expression, sexual orientation, age, marital status, veteran status, or disability status. We will ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process, to perform essential job functions, and to receive other benefits and privileges of employment. Please contact us to request accommodation.About DTCC
DTCC safeguards the financial markets and helps them run efficiently, in times of prosperity and crisis. We are uniquely positioned at the center of global trading activity, processing over 100 million financial transactions every day, pioneering industry-wide, post-trade solutions and maintaining multiple data and operating centers worldwide. From where we stand, we can anticipate the industry's needs and we're working to continually improve the world's most resilient, secure and efficient market infrastructure. Our employees are driven to deliver innovative technologies that improve efficiency, lower cost and bring stability and certainty to the post-trade lifecycle.
DTCC proudly supports Flexible Work Arrangements favoring openness and gives people freedom to do their jobs well, by encouraging diverse opinions and emphasizing teamwork. - When you join our team, you'll have an opportunity to make meaningful contributions at a company that is recognized as a thought leader in both the financial services and technology industries. A DTCC career is more than a good way to earn a living. It's the chance to make a difference at a company that's truly one of a kind.
Our Risk Management teams work to protect the safety and soundness of our systems and are responsible for identifying, managing, measuring and mitigating a spectrum of key risk types including credit, market, liquidity, systemic, operational and technology in all existing and new products, activities, processes and systems. -Full time

Keywords: DTCC- The Depository Trust & Clearing Corporation, Jersey City , Director, Model Risk, Executive , Jersey City, New Jersey

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