BNY Mellon Careers

Sr. Manager, Quant Modeler

New York, New York

Job Description

 The Senior Group Manager (Financial Modeling Director) will be in charge of managing counterparty potential future exposure (“PFE”) model development for the Market Risk Management department. The PFE models make risk estimates that are a key input to management decisions and are reported to Senior Management, the Board of Directors and regulators on a regular basis. The role will be to oversee execution of the corporate-wide standards for model development. This will entail investigating and selecting frameworks best suited to solve a problem and deciding on the scope of the solution. Incumbent will manage the schedule, scope, and resources of development areas.

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 will lead work in these modeling disciplines: 1) Scenario Generation Framework; 2) Pricing Function Modeling; 3) Stress Test Forecast Modeling; 4) Creation of Analytical Tools to Explain/Test Modeled Results

The incumbent will manage a team of four to five modelers and be responsible for:

Providing intellectual leadership in designing platform architecture, development environments to be used, defining development components and coordinating execution of development

Creating development schedules and ensuring proper allocation of analyst resources

Executing corporate-wide standards for model development, by ensuring proper scope of effort. This entails overseeing 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

Evaluating the strengths and weaknesses of framework options and identifying which is most likely to meet the needs of the business

Reviewing and writing clearly-expressed model documentation according to internal documentation standards

Overseeing performance monitoring, support for validation efforts, and communication of results to management

Engaging model owners and business users of models to agree on possible controls that have been identified as part of a validation effort

Directing management of a team of senior professionals and subordinate managers to include performance management and coaching

Managing financial resources/ budget for unit

Being responsible for the supervision of managers and coordination of functional resources, establishing department priorities, policies and procedures, adhering to local regulations/requirements


Master's Degree/PhD in a quantitative discipline, such as mathematics, physics, engineering or other highly quantitative discipline. The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills. 7-10 years of total work experience with at least 1-3 years in management preferred. Experience in financial services preferred. Complex quantitative modeling, numerical analysis, computational methods using programming languages, particularly C/C++, Python, R and SQL strongly preferred. Applicable graduate/post-graduate sponsored research or work-study programs may be an acceptable substitute for some years of direct work experience.

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: 85362
Job: Risk
Organization: Risk-HR06016
Requisition Number: 1907378