Quantitative Model Developer

1 month ago


Chennai, Tamil Nadu, India THE BANK OF NEW YORK MELLON CORPORATION Full time
Role Overview

BNY Mellon is seeking a highly skilled Quantitative Model Developer to join our Model Development team in Pune, India. As a key member of our team, you will be responsible for developing, maintaining, and implementing risk models for quantifying counterparty credit risk and treasury credit risk.

Key Responsibilities
  • Develop and enhance counterparty credit risk and treasury risk modeling methodologies.
  • Assist in managing inbound questions, deliverables, and ad-hoc requests with an emphasis on accuracy and timeliness.
  • Execute corporate-wide standards for model development by creating options for theoretical frameworks, collecting data, supporting assumptions, and reviewing outcomes.
  • Responsible for performance monitoring of models, identifying possible deterioration by comparing outcomes to established thresholds.
  • Regular interactions with business, technology, and other stakeholders in the bank, including Finance, Treasury, and Model Risk Management.
Requirements
  • Master's degree in a quantitative discipline, including Financial Engineering, Operations Research, Economics, Econometrics, Statistics, or Mathematics.
  • Experience with complex quantitative modeling, numerical analysis, and computational methods using programming languages such as Python and R.
  • Internship experience in quantitative modeling positions for a leading financial institution, central bank, consulting firm, or similar.
  • Experience in fixed income and equity pricing.
  • Excellent organizational and communication skills, with a proven track record of executing against deliverables and meeting deadlines under pressure.


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