Specialist, Model Risk
BNY Mellon
Wroclaw, Dolnoslaskie, Poland
‎14 godz. temu

ABOUT BNY MELLON

BNY Mellon is a global investments company dedicated to helping its clients manage and service their financial assets throughout the investment lifecycle.

Whether providing financial services for institutions, corporations, or individual investors, BNY Mellon delivers informed investment and wealth management and investment services in 35 countries.

As of March 31, 2021, BNY Mellon had $41.7 trillion in assets under custody and / or administration, and $2.2 trillion in assets under management.

BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments.

BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE : BK). Additional information is available on www.

bnymellon.com Follow us on Twitter BNYMellon or visit our newsroom at www.bnymellon.com / newsroom for the latest company news.

Model Risk Management (MRMG) oversees all modeling in the firm. It aims to stop models from exposing the firm to risk. To do so, it sets up the process to develop and maintain models and approves all models for use.

This is accomplished by rigorous review, investigations that question assumptions, test outcomes, and find the limits of methodologies.

MRMG operates as a global group, working from three continents. The team in Poland is the European center for MRMG. It’s highly visible roles come with significant responsibility in the decision making process.

The Specialist (Model Risk Analyst) will contribute to the enterprise-wide model validation function. 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 provides constant quantitative challenges and growing opportunities due to the diversity of projects and programs.

Your role

As a Model Risk Specialist you will be responsible for reviewing models to identify and evaluate their risk and ensuring controls manage that risk.

This requires designing and executing tests for model assumptions and outcomes. The role may require building shadow models that run alongside those in production, allowing MRMG to monitor performance in real time.

You will be guided by more senior colleagues that establish the scope of each project. The work is highly individual and requires responsibility and accountability for accuracy and quality.

You may work in one of four disciplines, each responsible for a different type of modeling :

1) Credit Risk Modeling where the main tasks include independent model replication, data analysis and outcomes testing. Many models rely on regression framework.

Many models are estimates of credit risk parameters (PD, LGD, EAD), and their assessment requires independent back-testing or benchmarking.

2) Market Risk Modeling you will see how complex models are used to calculate market and counterparty credit risk measures using high-profile estimation techniques.

3) Pricing Modeling you will have exposure to complex pricing models for financial instruments from key asset classes : interest rate, FX and equity derivatives (e.

g., linear products swaps, vanilla and exotic options) used for Front Office pricing and risk applications. You will also learn how to construct interest rate curves and volatility surfaces.

4) Asset Management and Economic Forecasting In Asset Management the main focus is put on analysis of asset allocation and portfolio’s risk-return control.

Models here connect technical analysis with economic standpoint and help to get understanding of different Lines of Business (LOBs).

In Economic Forecasting, which focuses on macroeconomic variables forecasting for stress testing purposes for whole company, models combine statistical techniques with economic knowledge.

Qualifications

  • Master's Degree or PhD degree in a quantitative discipline (mathematics, statistics, econometrics, physics or engineering)
  • The candidate must have a superb quantitative and analytical background with a solid theoretical foundation,
  • 1-3 years of experience after Master’s degree (for strong candidates with PhD title experience is not mandatory),
  • Programming skills in one of those languages : R, Python, Matlab or similar,
  • Good communication skills.
  • The candidate should have a strong interest in : financial engineering, financial markets and products, statistics, econometric modeling, data science or machine learning.

    We are welcoming specialists willing to learn about models, financial markets and products. Colleagues who are keen to use analytical curiosity to dive in different projects with support of our team.

    We are using knowledge we have learned in academia every day to solve problems that have worldwide impact. Our team secures actions and decisions taken by one of the largest custodian bank in the world, it gives us great pleasure, satisfaction and endless possibilities to grow.

    Our offer :

  • Full time contract of employment
  • City Centre locations close to main railway station and flexible working arrangements
  • Flexible benefits package, including life and medical insurance, health screening, fitness discount programme, employee assistance program
  • Award-winning Wellbeing Program supporting you with your unique health and wellbeing needs
  • Pension scheme
  • On-site childcare and a parental buddy programme
  • Exciting opportunities for career and global mobility
  • Diverse and inclusive environment
  • Employee Referral Program
  • Recognition programmes
  • Tags : esxepnlev

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