Associate Director, Sr. Quantitative Analyst, Model Risk Management

Are you ready to explore a world of possibilities?

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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 be supported and surrounded by other professionals as you learn new skills, advance your career, and see the impact of your efforts every day.

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Pay and Benefits:

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n- Competitive compensation, including base pay and generous annual incentive target Comprehensive health and life insurance and well-being benefits effective day-one - no waiting period means no out-of-pocket expense for COBRA n- Retirement benefits - 401K & DTCC funded pension plan n- Paid Time Off and other leave of absence – Accrue 25 days of PTO per year + 10 paid holidays n- Flexible/Hybrid Work Arrangements – We collaborate in the office on Tuesday & Wednesday n

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Why you'll love this job:

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The Sr. Quantitative Analyst is part of Model Risk Management ("MRM"), which is responsible for quality control, model governance, independent model validation and model performance monitoring.

This Associate Director level Analyst will support the Director of MRM 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.

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Your Primary Responsibilities:

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n- Review MPM metrics and MPM plans according to firmwide MPM standards and opine on the appropriateness of the metrics and plans n- Review backtesting methodologies and write review report n- Present MPM review and oversight results and finding resolutions to the Model Risk Governance Council (MRGC) n- Challenge MPM reports at monthly MRGC review meeting n- Review low-tier models n- Review non-models and enforce control n- Perform ad hoc analysis to identify model limitation(s) and performance issue(s) and recommend remediation(s) n- Mitigates risk by following established procedures and supervising controls, spotting key errors, and demonstrating strong ethical behavior n

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Talents Needed for Success:

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n- Minimum of 8 years of related experience n- Bachelor's degree preferred or equivalent experience n- 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) n- Knowledge of prepayment modeling, MBS pricing and risks is a plus n- Experience and sophisticated knowledge on VaR modeling and VaR model back testing methodologies n- Strong mathematical background, especially in probability theory, stochastic processes, and PDE’s n- Econometric modeling and applied statistics skills (i.e., estimation, time series modeling, Monte Carlo simulation techniques, etc.) n

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Who We Are:

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DTCC is the heart of the post-trade market infrastructure for the global financial services industry. From 21 locations all over the world, DTCC, through its subsidiaries, automates, centralizes, and standardizes the processing of financial transactions, mitigating risk, growing transparency and driving efficiency for thousands of broker/dealers, custodian banks and asset managers. In 2020, DTCC’s subsidiaries processed securities transactions valued at more than U.S. $2.3 quadrillion.

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We are an equal opportunity employer and value diversity at our company. We do not discriminate based on 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.