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Senior Quantitative Analyst

Company: Thusa Solutions
Location: Jersey City
Posted on: September 17, 2020

Job Description:

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 (“BT”).

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 regulatory requirements.

This position will be based in Jersey City.

Specific Responsibilities:

Review MPM metrics and MPM plans according to firmwide MPM standards and opine on the appropriateness of the metrics and plans

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 success.

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.

Qualifications

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.

Additional 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

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 priorities.

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.

Keywords: Thusa Solutions, Jersey City , Senior Quantitative Analyst, Other , Jersey City, New Jersey

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