Thusa Solutions is looking for a Senior Quantitative Analyst 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
The Senior Quantitative Analyst will support the Director of MPM
Review and Non-Models Control and work closely with model owners
and the validation team within MVC group to perform reviews of MPM
metric, plans, backtesting methodologies, low-tier models and
non-models to ensure they comply with the standards as defined by
DTCC Model Risk Management policy, Model Validation Procedures and
This position will be based in Jersey City.
Review MPM metrics and MPM plans according to firmwide MPM
standards and opine on the appropriateness of the metrics and
Review backtesting methodologies and write review report
Present MPM review and oversight results and finding resolutions
to the Model Risk Governance Council (MRGC)
Challenge MPM reports at monthly MRGC review meeting
Review non-models and enforce control
Perform ad hoc analysis to identify model limitations and
performance issues and recommend remediations.
Inclusive Leadership: Values individuals and embraces diversity
by integrating differences and promoting diversity and inclusion
across teams and functions.
Coaching: Understands and anticipates people's needs, skills,
and abilities, in order to coach, motivate and empower them for
Feedback: Seeks feedback from others, provides feedback to
others in support of their development, and is open and honest
while dealing constructively with criticism.
Delegating: Effectively manages tasks and people, taking a
practical approach to determine the most effective method of
execution while respecting others’ expertise and considering
others’ feelings and working styles.
5 - 7 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 preferred.
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
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
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
Must have excellent interpersonal skills and can work in an
efficient and organized way.
Ability to work independently and under pressure.
Ideally the incumbent should be familiar with the regulatory
requirements in terms of model risk management (SR11-7) and SEC
Covered Clearing Agency Standards
Thusa is dedicated to delivering holistic solutions through our
customized qualifying methods in which we make the upfront
investment to thoroughly qualify our talent. We take the time to
build real relationships with our clients and resources. In
addition to that, we go the extra mile to make sure that our
workforce is happy, dedicated, and appreciated so that they will
always be ready to deliver quality while on your clock. dedicated
to delivering holistic solutions through our customized qualifying
methods in which we make the upfront investment to thoroughly
qualify our talent. We take the time to build real relationships
with our clients and resources. In addition to that, we go the
extra mile to make sure that our workforce is happy, dedicated, and
appreciated so that they will always be ready to deliver quality
while on your clock.
Our employees enjoy a work culture that promotes company
We treat our employees like family while providing on-going
support for growth. We are not only looking for people who can do
the job, we are also looking for our future leaders.