Senior Principal, Model Risk Management

Company: Bank of New York Mellon
Location: New York
Posted on: September 19, 2023

Job Description:

Overview

Model Risk Management (MRMG) oversees all modeling in the firm with the aim to reduce and understand our firm's exposure to risks. To do so, we set up the process to develop and maintain models, and approve all models for use in production. This is accomplished by rigorous review, investigations that question assumptions, test outcomes, and find the limits of methodologies.

MRMG operates as a global group, working from three continents. Its highly visible roles come with significant responsibility in the decision-making process.

The Senior Principal will contribute to the enterprise-wide model validation function. The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. The role provides constant quantitative challenges and growing opportunities due to the diversity of projects and programs.

Your role

As a Senior Principal in Model Risk, you will be responsible for reviewing models to identify and evaluate their risk and ensuring controls manage that risk. This requires designing and executing tests for model assumptions and outcomes. You will contribute to the development of internal tools used for validation. The role may require building shadow models that run alongside those in production, allowing MRMG to monitor performance in real time.

This role may lead the work of analysts or guide junior-level colleague in one of five disciplines, each responsible for a different type of modeling:

1) Credit Risk Modeling

2) Treasury Modeling

3) Market Risk Modeling

4) Pricing Modeling

5) Forecasting

We welcome experts willing to learn about models, financial markets and products. Colleagues who are keen to use analytical curiosity to dive in different projects with support of our team. We are using knowledge we have learned in academia every day to solve problems that have worldwide impact. Our team secures actions and decisions taken by one of the largest custodian banks in the world, it gives us great pleasure, satisfaction and endless possibilities to grow.

Requirements:

• Master's degree or PhD degree in Financial Engineering, Engineering, Physics, Mathematics, Statistics, Econometrics or a related field
• Seven (7) years of experience in the job offered or a related occupation.
  • Seven (7) years of experience must include:
    • Utilizing QRM to model asset liability management or market risk;
    • Utilizing programming languages, including SQL, VBA or R to develop financial models;
    • Conducting mortgage portfolio modeling including prepayment, valuation, or pricing; and Executing quantitative modeling or market risk for the banking industry.
    • Four (4) years of experience must include:
      • Handling model development or model-risk management for ADCo model, Intex model, interest rate term structure model, yield curve construction, Value at Risk (VaR) model for MBS, CMO, structured products, whole mortgage loans, and derivatives;
      • Utilizing economic value of equity (EVE), net interest income (NII), earning at risk (EaR), and other comprehensive income (OCI) concepts for bank's stress testing and business-as-usual modeling purposes.
      • Superb quantitative and analytical background with a solid theoretical foundation,
      • Programming skills in one of those languages: Python, C++, C#, R, Matlab or similar.
      • Excellent communication and writing skills.
      • Passion for markets and financial products, statistics, econometric modeling, data science or machine learning.
        
        Preferred Skills:
        
        • Familiarity with financial engineering libraries (e.g., QuantLib) or tools supporting code maintenance (e.g., Git, SVN).
        • Experience in working with key stakeholders (senior management, regulators, model developers, auditors) and handling complex projects.
        • Certificates (CQF, FRM, PRM)
          
          BNY Mellon assesses market data to ensure a competitive compensation package for our employees. The base salary for this position is expected to be between $175,000 and $225,000 per year at the commencement of employment. However, base salary if hired will be determined on an individualized basis, including as to experience and market location, and is only part of the BNYM total compensation package, which, depending on the position, may also include commission earnings, discretionary bonuses, short and long-term incentive packages, and Company-sponsored benefit programs.
          This position is at-will and the Company reserves the right to modify base salary (as well as any other discretionary payment or compensation) at any time, including for reasons related to individual performance, change in geographic location, Company or individual department/team performance, and market factors.
          
          Employer Description:
          
          For over 230 years, the people of BNY Mellon have been at the forefront of finance, expanding the financial markets while supporting investors throughout the investment lifecycle. BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments and safeguards nearly one-fifth of the world's financial assets. BNY Mellon remains one of the safest, most trusted and admired companies. Every day our employees make their mark by helping clients better manage and service their financial assets around the world. Whether providing financial services for institutions, corporations or individual investors, clients count on the people of BNY Mellon across time zones and in 35 countries and more than 100 markets. It's the collective ambition, innovative thinking and exceptionally focused client service paired with a commitment to doing what is right that continues to set us apart. Make your mark: bnymellon.com/careers.
          
          EEO Statement:
          
          BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer. Minorities/Females/Individuals With Disabilities/Protected Veterans. Our ambition is to build the best global team - one that is representative and inclusive of the diverse talent, clients and communities we work with and serve - and to empower our team to do their best work. We support wellbeing and a balanced life, and offer a range of family-friendly, inclusive employment policies and employee forums.

Keywords: Bank of New York Mellon, New York , Senior Principal, Model Risk Management, Executive , New York, New York