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The Quantitative Services (QS) team is responsible for the Model governance and Volcker product monitoring for all Global Markets (GM) trades.
As part of Model Governance, QS monitors the model used for official valuation to identify (i) products that are not valued using an approved model, and (ii) models that are not used within their approved restrictions. On a monthly basis, QS reports the result of the monitoring and reviews the model exceptions with different stakeholders (i.e. Model Risk, Quants, Traders and Tech) as part of the Model Control Working Groups (MCWG).
As part of the Volcker Monitoring, QS performs a daily monitoring all GM trades against the Approved Product List (APL) for each Volcker Trading Desk (VTD) and Legal Entity. QS is responsible for the overall governance of the APL Volcker reporting, which includes daily escalation of issues / exceptions, management of weekly and monthly reporting to the Volcker Control Forums (VCF).
Job Description:
Perform the Model Governance and Volcker Product monitoring, which includes daily escalation of issues / exceptions, and management of monthly reporting and tracking:
The ideal candidate will be very analytical, a self-starter, be very comfortable working independently with significant amounts of data, maintain close attention to detail, look to understand process, be comfortable working in a fast-paced environment, and capable of handling multiple priorities. Additionally, the candidate will be expected to build strong working relationships with stakeholders including Front office Quants and COOs, VTD Heads, Market Risk, Model Risk, Technology, Finance, and other business partners. Candidates should expect to demonstrate process leadership and ownership.
Enterprise Role Overview:
Works as part of a broader team on delivery of quantitative projects. Will work under the guidance of a senior team member; However expectation is that they would be self-started who can work under minimal supervision. Interacts with cross functional teams to optimize tools & process flows. Will leverage strong quantitative and programming skills to build deep knowledge of the banks pricing & risk libraries and infrastructure. Key responsibilities include: Assist in the development of financial modeling tools for derivative products, applying the theory and mathematics behind various models; Builds out analytical and technical tools for validations of new models/methodology with minimal oversight; Develops reporting of various risk metrics complied with business and regulatory requirements; and Understands financial products across all asset classes and has extensive knowledge of technical implementations. Must have a bachelor's degree in a quantitative field with knowledge of probability, statistics and stochastic processes. Advanced degree preferred
Required Skills: (Must have these skills to be minimally qualified)
Desired Skills:
Other Qualifications:
Skills :
Full Time