Manager, Quantitative Analysis - Model Risk Office

About This Role

Managing a Model Validation team within the Model Risk Office is the core of this role, focusing on ensuring the accuracy and robustness of the firm’s market risk models. This position is responsible for validating models, specifically those used for derivative pricing and risk management, including derivative valuation, market risk, and counterparty risk models. The role suits a quantitative analyst with strong communication skills to engage with diverse stakeholders.

Responsibilities

• Remain on the leading edge of analytical technology with a passion for the newest and most innovative tools
• Develop model approaches to assess model design and advance future capabilities
• Understand relevant business processes and portfolios associated with model use
• Understand technical issues in econometric, statistical, and machine learning modeling and apply these skills toward developing models and assessing model risks and opportunities
• Communicate technical subject matter clearly and concisely to individuals from various backgrounds both verbally and through written communication
• Prepare presentations of complex technical concepts and research results to non-specialist audiences and senior management
• Maintain the efficiency and accuracy of our models through continuous improvement and application of best practices
• Develop and maintain high quality and transparent documentation
• Leverage the latest open source technologies and tools to identify areas of opportunity in our existing framework

Requirements

• Demonstrated track-record in modeling and experience utilizing model estimation tools such as Python or R
• Ability to clearly communicate modeling results to management, model risk office, regulator and other modelers
• Drive to continuously improve all aspects of their work in a collaborative fashion
• Experience in machine learning
• Strong communication skills with the ability to quickly understand existing models and new requirements/business needs
• Experience working with Agile development methodologies
• Strong grasp of econometric theory and methodologies
• Desire to remain on the leading edge of analytical technology with a passion for the newest and most innovative tools
• Experience working with CCAR regulatory requirements
• Experience with derivative modeling
• Currently has, or is in the process of obtaining one of the following with an exception that the required degree will be obtained on or before the scheduled start date:
• A Master’s degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 4 years of experience in quantitative analytics