Senior Quantitative Analyst
$118K-$228K (Glassdoor est.)
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.

About this Opportunity

We are looking for a senior quantitative analyst to join the Model Validation & Control group ("MVC"), which is responsible for all aspects of Model Risk Management ("MRM") at DTCC from model governance & control, independent model validation to model performance monitoring ("MPM") and back testing ("BT").

The senior quantitative analyst will support the Director of MPM Review 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

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






Talents Needed for Success:
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.
Excellent written and oral 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.


Who We Are:

With over 45 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry. From operating facilities, data centers and offices in 16 countries, DTCC, through its subsidiaries, automates, centralizes and standardizes the processing of financial transactions, mitigating risk, increasing transparency and driving efficiency for thousands of broker/dealers, custodian banks and asset managers. Industry owned and governed, the firm simplifies the complexities of clearing, settlement, asset servicing, data management, data reporting and information services across asset classes, bringing increased security and soundness to financial markets. In 2018, DTCC’s subsidiaries processed securities transactions valued at more than U.S. $1.85 quadrillion. Its depository provides custody and asset servicing for securities issues from 170 countries and territories valued at U.S. $52.2 trillion. DTCC’s Global Trade Repository service, through locally registered, licensed, or approved trade repositories, processes over 14 billion messages annually. To learn more, please visit us at www.dtcc.com or connect with us on LinkedIn, Twitter, YouTube and Facebook.
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