BNY Mellon Careers
Group Manager, Market Risk Models Validation
The Manager, Model Risk Management will be part of a highly visible modeling function responsible for key inputs to executive decisions and reporting to the Board of Directors. The incumbent will be responsible for leading work that identifies risks in the firm’s modeling infrastructure as well as proposing innovative approaches to manage that risk. The incumbent should have a strong background in Market Risk modeling, particularly with respect to derivative pricing/valuation and VaR models. In these areas, the incumbent will not only lead the design of testing and the investigation of the limits to a model’s performance, but also predict the environmental conditions under which a model should be expected to fail. The Manager will coordinate and direct the work of less experienced colleagues and guide them in formulating a plan of action for senior management.
Responsible for the technical direction, accuracy, and soundness of quantitative methods in a modeling area. Decisions and assumptions recommended by the incumbent have significant impact on the financial and risk position of the Bank or legal entity supported.
Master's Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, econometrics. The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills. Minimum 2 years (2 - 5 preferred) of modeling experience in financial services. Must have experience with complex quantitative modeling, numerical analysis, and computational methods using programming languages (such as Python, R, C/C++, MATLAB, SAS) as well as mathematical/statistical software packages. 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.
Potential Area of Focus
- Oversees review of valuation models on various platforms.
- Report to the Director of Market Risk Validation (Head of Validation for Market Risk)
- Assists the Director to scope a validation; constructs strategies to quantify risk/impact; solve technical challenges faced by analysts;
- Coach and guide analysts as they use the firm’s modeling standards
- Coordinate efforts with various modelling teams
- 6+ years’ hands-on experience of banking, derivatives valuation (i.e., swap, swaption, bond, MBS, CDS, and etc.), Risk modeling/validation, and portfolio risk management.
- Quantitatively focused graduate degree; possess statistical and programming skills (i.e. C++, Python, R, Matlab, and SQL); CFA and FRM a plus
- Comfortable and experienced in instructing junior analysts for technical/computing challenges
- Familiarity with Bloomberg, Murex, QuIC, RiskMetrics, and Aladdin
- Strong technical writing skills. Strong interpersonal skills to support working in a team atmosphere with modelers, internal auditors, colleagues); Detailed oriented
If you apply for this role this means you agree with the following statement:
Through my application for a role with BNY Mellon (Poland) sp. z.o.o. (the Company) I hereby authorize the Company to process my personal data for the purposes of recruitment. Furthermore I declare that I am aware of the voluntary submission of data and I am informed about the right to access the data and the right to correct it, pursuant to the Personal Data Protection Act of 29 August 1997 (Journal of Laws [Dz.U] No. 133, item 883)”. I authorise the Company to process my personal data for future recruitment processes.
Furthermore, I authorize BNY Mellon and its’ affiliates, Taleo (UK) Limited to process my personal data.
BNY Mellon and affiliates registration details.-
BNY Mellon (Poland) sp. z.o.o Registered office – Swobodna 3, 50-088 Wroclaw
The Bank of New York Mellon (International) Limited – 1 Canada Square, London, E14 5AL
The Bank of New York Mellon SA/NV – 46 Rue Montoyerstraat, B-1000 Brussels, Belgium
Taleo (UK) Limited Registered office - 78-586 Chiswick High Road, London W4 5RP, United Kingdom,
Please note that during the recruitment process you may be asked to provide further information and supporting documents. The information provided may be verified and reviewed, to the extent permitted by the law, as to their veracity and accuracy.
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: bnymellon.com/careers.
BNY Mellon's Asset Servicing business is dedicated to dynamically supporting our clients' investments and safeguarding their assets, keeping them working around the clock and across the world. It's part of our commitment to being a true partner for our clients' investment success. We specialize in operational solutions and capabilities for today's market-enhancing management and administration of investments with services that process, monitor and measure investment data from around the world. By leveraging BNY Mellon's global footprint and deep expertise, we deliver insight-driven solutions for every phase of investing.
BNY Mellon is an Equal Employment Opportunity Employer.
Primary Location: Poland-Dolnoslaskie-Wroclaw
Internal Jobcode: PAS17
Requisition Number: 1810863