Overview Of BNY Mellon
BNY Mellon is a global financial services company focused on helping clients manage and service their financial assets, operating in 35 countries and serving more than 100 markets. BNY Mellon is a leading provider of financial services for institutions, corporations and high-net-worth individuals, providing superior asset management and wealth management, asset servicing, issuer services, clearing services and treasury services through a worldwide client-focused team.
Global Talent & Development department is looking for a Quantitative Modeler, Market Risk:
This is a highly visible position within Market Risk group, we are looking for talented and creative quantitative modelers who will be responsible for implementation, maintenance, and debugging of Bank of New York Mellon main model for its counterparty risk exposure and market risk framework that include credit and liquidity risk components as well.
The model use includes regulatory reporting purposes such as RWA and Basel; key input to management decisions and reporting to Senior Management and the Board of Directors on a regular basis. 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 risk management concepts and quantitative modelling area.
Key responsibilities include:
Market Risk Modeling and Pricing of a wide variety of financial asset classes, PFE and VaR calculations for counterparty credit limit
Perform backtesting, benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic
Communicating with trading desks and legal department to understand the business and legal aspects of the trades that could impact in risk aggregation,
Interact with technology for market data standard and model integration, and also model risk management group for timely delivery of model maintenance
QualificationsA successful candidate needs to demonstrate his/her ability to solve complicated modeling problems. A Ph.D. or Master degree in mathematics, physics, engineering, or other quantitative field is a plus, but not an absolute requirement.
- Strong quantitative background and creative problem solving skills with an ability to describe complex systems in simple terms.
- Advanced experience in programming languages (Python, C/C++, R, MATLAB)
- Ability to work in a high-pressure environment and a good team player.
- Must be extremely focused, detail oriented, results oriented and highly productive.
- Prior experience of financial products such as RMBS/CMBS/ABS is a plus.
- Excellent communication and writing skills.
What we can offer you:
- Full time contract of employment
- Competitive salary
- Health & Life Insurance
- Multisport card / Cinema Tickets / Nursery subsidiary
- Pension scheme
- Excellent opportunities for training, growth and professional development
- Opportunities to engage in diverse projects due to growth of business migrations
- A multitude of opportunities to get involved in additional charity projects
- A collaborative culture and great teams
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
Internal Jobcode: 85357
Requisition Number: 1913384