Vice President, Model Development II
The Bank of New York Mellon - New York, NY
posted 16 days ago
About the position
At BNY, our culture empowers you to grow and succeed. As a leading global financial services company at the center of the world's financial system we touch nearly 20% of the world's investible assets. Every day around the globe, our 50,000+ employees bring the power of their perspective to the table to create solutions with our clients that benefit businesses, communities and people everywhere. We continue to be a leader in the industry, awarded as a top home for innovators and for creating an inclusive workplace. Through our unique ideas and talents, together we help make money work for the world. This is what #LifeAtBNY is all about. We're seeking a future team member for the role of Senior Vice President Model Development Manager to join our BNY Risk team. This role is located in New York City in a Hybrid work environment.
Responsibilities
- Lead the development, enhancement and documentation of counterparty credit risk and treasury risk modeling methodologies.
- Work in areas such as interest rate models for pricing swaptions, caps/floors, callable bonds and mortgages; product knowledge and pricing techniques for interest rate swaps, FX forwards and options, Equity Forward, Futures and options, equity total return swaps, Credit Default Swaps.
- Manage inbound questions, deliverables and ad-hoc requests with an emphasis on accuracy and timeliness.
- Identify problems that can be solved by the application of financial theory and the building of models which improves the firm's operations.
- Execute corporate-wide standards for model development by creating options for theoretical frameworks, collecting data needed, supporting assumptions, and reviewing outcomes.
- Monitor performance of models, identifying possible deterioration by comparing outcomes to established thresholds.
- Direct projects to develop or modify a suite of complex or interconnected models.
- Conduct regular interactions with business, technology, and other stakeholders in the bank such as Finance, Treasury, Model Risk Management.
- Plan the timing and resources for significant projects and provide intellectual leadership in terms of conducting cutting-edge research.
Requirements
- Master's degree in a quantitative discipline, including Financial Engineering / Operations Research/ Economics / Econometrics / Statistics / Mathematics, etc. is required; PhD is a plus.
- Minimum 3 years in quantitative modeling positions for a leading financial institution / central bank, consulting firm or similar.
- Experience with complex quantitative modelling, numerical analysis, and computational methods using programming languages (such as Python and R).
- Focused on fine detail with ability to synthesize large amounts of data and various viewpoints.
- Excellent organizational and communication (verbal and written) skills.
- Ability to work well individually and in teams, share information, support colleagues, and encourage participation.
- Understanding of Monte Carlo, binomial and trinomial trees, finite-difference numerical methods.
- Strong programming skills in Python and R.
Nice-to-haves
- Experience with databases focused on fixed income and equity pricing.
- Additional modeling development technologies.
Benefits
- Highly competitive compensation.
- Access to flexible global resources and tools for your life's journey.
- Focus on health and personal resilience.
- Generous paid leaves, including paid volunteer time.
