The candidate is primarily responsible for conducting model validation and annual review of models in DTCC model inventory according to DTCC’s Model Risk Management policy and procedures under the supervision of model validation director.
What You’ll Do
Conduct model validation and review by performing various tests based on model validation procedures and standards.
Review model documentation to ensure its compliance with the Model Development Standards.
Review Model Performance Monitoring(“MPM”) metrics and plan according to firmwide MPM standards and detect and escalate any performance concerns to the model validation director
Write model validation reports based the testing results and make recommendations on model approval or rejection.
Perform ad hoc analysis to identify model limitations and performance issues and recommend remediations
Help the model validation director to prepare presentations on model validation matters to the Model Risk Governance Council(“MRGC”)
Interact with model owner, mode user, Internal Audit and regulators on detailed model validation matters.
Aligns risk and control processes into day to day responsibilities to monitor and mitigate risk; escalates appropriately
Sound Like You?
Minimum of 6 years of related experience
Bachelor’s degree preferred with Masters or equivalent experience
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 knowledge on VaR modeling and VaR model back testing methodologies are desired.
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.)
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.
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