Website Depository Trust & Clearing Corporation (DTCC)
Are you ready to explore a world of possibilities?
Join our DTCC family, and you’ll grow your expertise and become the best version of you. As you embark on a new journey, you’ll tackle challenges with flexibility and grace, learning new skills and advancing your career while having the time of your life.
Why You’ll Love This Job:The Senior quantitative analyst will support the Director of Quality Control and work closely with the validation team within MVC 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 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 our Regulators. Successful candidate is encouraged to quickly achieve a comprehensive understanding of DTCC’s businesses and be able to apply industry best practices to DTCC’s business context.
- Perform quality control testing on the validation work to ensure the 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 liaison between the validation team and Data Integrity team to set up monitoring thresholds
- 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
**NOTE: The Primary Responsibilities of this role are not limited to the details above. **
Talents Needed For Success:
- 7 years of related experience minimum
- Bachelor’s degree preferred with Masters or equivalent
- 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 verbal 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
We offer top class training and development for you to be an asset in our organization!
We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, sex, gender, gender expression, sexual orientation, age, marital status, veteran status, or disability status. We will ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process, to perform essential job functions, and to receive other benefits and privileges of employment. Please contact us to request accommodation.
About the Team
To apply for this job please visit ebxr.fa.us2.oraclecloud.com.