Vice President, Model Development I
2 weeks ago
Vice President, Model Development I
Bring your ideas. Make history.
BNY Mellon offers an exciting array of future-forward careers at the intersection of business, finance, and technology. We are one of the world's top asset management and banking firms that manages trillions of dollars in assets, custody and/or administration. Known as the “bank of banks” - % of the world’s top banks work with us as we lead and serve our customers into the new era of digital.
With over years of rich history and industry firsts, BNY Mellon has been built upon our proven ability to evolve, lead, and drive new ideas at every turn. Today, we’re approximately , employees across countries with a culture that empowers you to grow, take risks, experiment and be yourself. This is what LifeAtBNYMellon is all about.
We’re seeking a future team member for the role of Vice President, Model Development I to join our Model development team. This role is located in Pune, India (Hybrid).
Role description and opportunities:
This position is responsible for developing, maintaining, and implementing risk models for quantifying counterparty credit risk and treasury credit risk inherent in the Corporation's business activities and processes. These models calculate key risk metrics that are reported to Senior Management and the Board of Directors on a regular basis as a key input to risk management decision making. The incumbent will be responsible to identify problems that can be solved by the application of financial theory and the building of models which improves the firm's operations. This will entail investigating and selecting frameworks best suited to solve a problem and deciding on the scope of the solution.
Responsibilities
The quantitative model developer role sits in the Counterparty Credit Risk (Securities Finance Transaction) and Treasury Credit Risk Modeling Team:
This role will be responsible for the development, enhancement and documentation of counterparty credit risk and treasury risk modeling methodologies. He/she will also assist in managing inbound questions, deliverables and ad-hoc requests with an emphasis on accuracy and timeliness of meeting deliverables on prescribed timelines. Execute corporate-wide standards for model development by creating options for theoretical frameworks, collecting data needed, supporting assumptions, and reviewing outcomes Responsible for performance monitoring of models, identifying possible deterioration by comparing outcomes to established thresholds. This role requires regular (written and verbal) interactions with business, technology, and other stakeholders in the bank such as Finance, Treasury, Model Risk Management. Good inter-personal and negotiation skills are a key factor to accomplishing goals when interacting in a complex, multiple-priority environment. Strong programming skills in Python and R is desired.Qualifications:
Strong quantitative skills: Master’s degree in a quantitative discipline, including Financial Engineering / Operations Research/ Economics / Econometrics / Statistics / Mathematics, etc. is required; PhD is a plus. The candidate must have experience with complex quantitative modelling, numerical analysis, and computational methods using programming languages (such as Python and R) and have experience with database. Internship experience in quantitative modeling positions for a leading financial institution / central bank, consulting firm or similar. Experience in fixed income and equity pricing. Extremely focused, detail oriented and highly productive with ability to synthesize large amounts of data and various viewpoints and summarize key concepts. Excellent organizational and communication (verbal and written) skills. A proven track record of executing against deliverables and meeting deadlines under pressure. Works well individually and in teams, shares information, supports colleagues, and encourages participation.
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