Senior Quantitative Analyst
Location: Jersey City
Posted on: January 13, 2022
The Senior quantitative analyst will support the Director of
Quality Control and work closely with the validation team within
the Model Validation 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 the DTCC Model
Risk Management policy, Model Validation Procedures and regulatory
requirements. This position will also have frequent interactions
with multiple internal and external stakeholders such as Quant
groups, Product Risk, IT, Management, Clients, Internal Audit, and
- Perform quality control testing on the validation work to
ensure compliance with internal and external requirements
- Enforce DTCC model documentation standards across the firm and
identify gaps and build action plans to remediate the gaps
- Perform data review and control and act as a liaison between
the validation team and Data Integrity team to set up monitoring
- Present quality control and data review results and resolutions
to Model Risk Governance Council (MRGC)
- Interface with auditors and regulators on the quality control
aspect of model validation and data review
- Any other ad hoc analyses, reviews, and validations
- 7 years of related experience minimum
- Bachelor's degree required. Master's degree 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 PDEs.
- 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 verbal 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 Standardsby Jobble
Keywords: Crunchhire, Jersey City , Senior Quantitative Analyst, Professions , Jersey City, New Jersey
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