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Senior Model Validation Analyst posted by DTCC

Full Time

Job Description

Are you ready to explore a world of possibilities?

Join our DTCC family, and you’ll grow your expertise and become the best version of you. As you embark on a new journey, you’ll tackle challenges with flexibility and grace, learning new skills and advancing your career while having the time of your life.

Why You’ll Love This Job:

We are looking for a Senior Model Validation analyst to join the model validation team within Model Risk Management (“MRM”) group at DTCC, which is responsible for all aspects of model risk management activities including governance, reporting, model inventory, model validation and model performance oversight.

The senior model validation analyst will work closely with the model owner and model developer to perform hands-on validation and review of models in the model inventory according to the model validation procedures and standards under the supervision of a director in the model validation team. At the end of each validation and review, the validator will write a quality model validation report summarizing the validation scope, procedures, tests, findings and resolutions, and conclusion. The validator will also present the results to the Model Risk Governance Council (“MRGC”) for review and discussion. 

Your Responsibilities:

•        Perform hands-on validations and reviews, write quality model validation reports

•        Work with the model owner, model developer and model user on all issues of model validation and issue resolution.

•        Prepare model validation and review presentations to the Model Risk Governance Council (“MRGC”) meetings for model approval, model issue tracking and resolution.

•        Present model validation and review results and finding resolutions to the Model Risk Governance Council (“MRGC”)

•        Challenge the model performance and methodologies at monthly MRGC review meeting

•        Perform ad hoc analysis to identify model limitations and performance issues and recommend remediations

**NOTE: The Primary Responsibilities of this role are not limited to the details above. **

  Talents Needed For Success:

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•        A PhD or a Master’s degree in quantitative finance, economic or another quantitative field, A PhD is preferred

•        Familiar with banking, financial institutions, financial instruments and markets.

•        Broad expertise in quantitative finance on valuation models (curve building methodologies, term structure models, option models, credit models), and risk management models and methodologies (Greeks, VaR, back testing, stress testing).

•        Experience and expert knowledge on VaR modeling and VaR model back testing methodologies

•        Strong mathematical background, especially in probability theory, stochastic processes, and PDE’s.

•        Econometric modeling and applied statistics skills (i.e. estimation, time series modeling, Monte Carlo simulation techniques, etc.)

•        High level of computer literacy, ability to work effectively with Matlab, Excel (VBA), SQL, R, Python or C++

•        Excellent written and oral communication and presentation skills, ability to communicate quantitative concepts to financial professionals

•        Must have excellent interpersonal skills and can work in an efficient and organized way. 

•        Ability to work independently and under pressure.

•        Ideally the incumbent should be familiar with the regulatory requirements in terms of model risk management (SR11-7) and SEC Covered Clearing Agency Standards

•        Knowledge of prepayment modeling, MBS pricing and risks is a plus.

•        Knowledge and experience on data science and Machine Learning technics/languages is desired.


We offer top class training and development for you to be an asset in our organization!

We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, sex, gender, gender expression, sexual orientation, age, marital status, veteran status, or disability status. We will ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process, to perform essential job functions, and to receive other benefits and privileges of employment. Please contact us to request accommodation.



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