BNY Mellon Careers

Prin, Model Dev (Market Risk Quant Modeler)

New York, New York

Job Description

This is a Market Risk Quant Modeler role.  The primary responsibilities are designing, testing, and maintaining market risk models and risk analytics tools using visual C++, Python scripts, and VBA.  Metrics will include VaR, derivative pricing, Monte Carlo implementation and optimization.  Collaborate with Desk Risk Managers, Model Validation team, IT, and Market Data groups.
The Principal (Financial Modeling Project Lead) will direct projects to develop or modify a suite of complex or interconnected models. 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 will be to oversee execution of corporate-wide standards for model development on a large and/or interconnected scale. The incumbent will be responsible for identifying problems that can be solved by the application of financial theory and building models that improve the firm's operation. The incumbent will be expected to plan the timing and resources for significant projects and provide intellectual leadership in terms of conducting cutting-edge research, identifying latest trends and developments in modeling, and recommending alternative solutions to analytically challenging problems. The incumbent may lead the work of analysts 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 For modeling activities that occur on a large or interconnected scale, the incumbent will create development schedules and ensure analyst resources are assigned. Execute corporate-wide standards for model development, by setting the scope of development efforts for complex and/or interconnected models. This entails determining the frameworks that will be used, the source data that should be collected, assumptions that should be made, and the outcomes that need to be reviewed. Evaluate the strengths and weaknesses of framework options and identify which is most likely to meet the needs of the business. Reviews accuracy of reports and calculations performed by less experienced colleagues; ensures proper model documentation is being put in place. Support the validation of models; the incumbent is expected to ensure testing and analysis is provided at the request of Model Risk Management. The incumbent will be responsible for arranging performance monitoring of models, identifying possible deteriorating by comparing outcomes to established thresholds. No direct reports; provides guidance to more junior analysts. Responsible for the indirect supervision of team members and coordination of resources. Modified based upon local regulations/requirements.


Master's Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, economics. The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills. 5 years with Masters or 3-years with PhD required. Must have experience with complex quantitative modeling, numerical analysis, and computational methods using programming languages (such as C/C++, C#, Java, FORTRAN, MATLAB, SAS) as well as mathematical/statistical software packages. Must be extremely focused, detail oriented, results oriented and highly productive. Must have a proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time. The candidate must have excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language.

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 & 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:

Risk and Compliance provide risk and compliance services across all BNY Mellon businesses. Organizationally, Risk and Compliance includes the following groups: Risk Management, Compliance, Global Corporate Security, Information Risk Management and Global Business Continuity. Risk Management oversees and delivers risk services and ensures new business risks are reviewed and approved. Risk Management is organized through Chief Risk Offices for each core business and critical operation. Risk managers provide shared support to BNY Mellon for operational risk services for Global Corporate Trust, Depositary Receipts, Treasury Services and Global Operations in EMEA. Compliance helps ensure BNY Mellon's businesses maintain appropriate processes to comply with applicable laws, regulations, BNY Mellon policies and ethics. This is accomplished through business- and business partner-specific teams of professionals, under centralized global management.

BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer.
Minorities/Females/Individuals With Disabilities/Protected Veterans.

Primary Location: United States-New York-New York
Internal Jobcode: 85359
Job: Risk
Organization: Risk-HR06016
Requisition Number: 1804408