What are the responsibilities and job description for the Quantitative Risk Management Associate Director position at DTCC?
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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 be supported and surrounded by other professionals as you learn new skills, advance your career, and see the impact of your efforts every day.
Pay and Benefits:
- Competitive compensation, including base pay and annual incentive
- Comprehensive health and life insurance and well-being benefits, based on location
- Retirement benefits
- Paid Time Off and other leave of absence
- Flexible/Hybrid Work Arrangements
Position Summary:
As an Associate Director for the NSCC Analytics team within the Quant Risk Management group, you will be responsible for all aspects of model development and maintenance for the CCPs in FICC. You are primarily responsible for developing, evaluating, and monitoring fixed income and risk models.
Your Primary Responsibilities:
- Evaluate and monitor the performances of agency prepayment model, interest rate model, valuation model, and risk model
- Maintain and enhance various in-house fixed income models and risk models
- Develop solutions to mitigate risk on model limitations and other emerging risks
- Develop model prototype and conduct impact study as part of the model development process
- Work with technology and other cross functional teams on model production implementation
- Provide quantitative support to internal risk managers, external supervisors, and FICC’s clients.
**NOTE: The responsibilities of this role are not limited to the details above. **
Talents Needed for Success:
- Masters or Ph. D degree in a quantitative discipline
- 3 years of quantitative modeling / model performance monitoring experience in fixed income
- Familiarity with prepayment model, interest rate model, and VaR model
- Familiarity with at least one high level programming language (Python, C , Java, etc.). Proficient in SQL.
- Strong analytical and problem-solving skills
- Excellent communication skills, both oral and written
- Audit experience to include SOX, SOC II Type II, SSAE 18, HiTRUST, and or PCI to include remediation activities
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 crucial job functions, and to receive other benefits and privileges of employment. Please contact us to request accommodation.
