Quantitative Risk – Associate Director (Jersey City)

JOB DESCRIPTION:

• Quantitative Risk Management, QRM is responsible for the development and support of models and methodologies for the quantification of risk.
• QRM also carries out quantitative analysis and other analytical support to firms’ risk management and other business needs.
• Quantitative Risk Management (QRM) is responsible for the development and support of models and methodologies for the quantification of risk.
• QRM also carries out quantitative analysis and other analytical support for DTCC’s risk management and other business needs.

RESPONSIBILITIES:

• Maintain and enhance in-house fixed income risk models
• Produce model performance metrics and analytics to support communications with both internal model users and external supervisors
• Explain model behavior, carrying out scenario analyses, develop new quantitative analysis tools
• Maintain key data source for groups model development and quantitative analyses.
• Mitigates risk by following established procedures and monitoring controls, spotting key errors and demonstrating strong ethical behavior.

QUALIFICATIONS:

• Master’s degree or higher in a quantitative field of study
• 5+ years of hands-on experience in quantitative models, research, with deep understanding in fixed income market.
• Fluent in Python and SQL
• Knowledge of Treasury Securities and/or MBS pricing and VaR modeling a big plus.
• Strong Analytical, quantitative and problem solving skills, as well as demonstrated research skills
• Good communication skills, both oral and written.
• Excellent attention to detail and focus on quality of deliverable