BNY Mellon Careers

Principal Specialist, Model Risk

Wroclaw, Poland
Risk


Job Description

BNY Mellon Science represents the strategic centre of excellence for quantitative and analytical work focused on risk mitigation across BNY Mellon globally, delivering valuable insight and risk quantification across the firm. BNY Mellon Science has grown rapidly and today represents a highly motivated and engaged team of skilled professionals with expertise in financial industry practices and regulation demanding deep quantitative talent. The team works closely with colleagues across BNY Mellon to support the firm’s Capital Adequacy, Market Risk and Enterprise Risk modelling and data analytics; alongside quantitative support for the annual Comprehensive Capital Analysis and Review (CCAR) Stress Test. The resources within BNY Mellon Science are working towards supporting other innovative quantitative and analytical solutions for the wider firm as a part of their strategic objectives for 2018 and into the future.

Within Model Risk Management we are looking for Senior Specialist who will be contributing to the corporate validation function, dedicated to a specific area of the business (market risk).  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 execute the enterprise standards for model validation and performing model reviews. The incumbent will be responsible for identifying and evaluating model risk and engaging model owners and business users to agree on possible controls. Incumbent must be able to 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 should be an expert in market risk modelling area, particularly knowledgeable in pricing and Value-at-Risk models.

 

 

Responsibilities:

  • For a modeling area, creates validation and review schedules and ensure analyst resources are assigned to the project
  • Executes enterprise standards for model validation, by setting the scope of a validation effort for models across a modeling area.  This entails designing the tests and review activities necessary to evaluate a model or suite of models.
  • Evaluates the strengths and weaknesses of a model's conceptual framework to identify situations where a model may become less useful.
  • Helps to review the accuracy of reports and calculations performed by less experienced colleagues.
  • Engages model owners and business users of models to agree on possible controls that have been identified as part of a validation effort by analysts.
  • Has the authority to approve changes to existing models and initiations of new models.

Qualifications

  • 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.
  • 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 R, Python, 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

 

 

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.


BNY Mellon is an Equal Employment Opportunity Employer.

Primary Location: Poland-Dolnoslaskie-Wroclaw
Job: Risk
Internal Jobcode: 85319
Organization: Risk-HR06016
Requisition Number: 1819323