Senior Vice President, Model Risk Management

The Bank of New York Mellon seeks a Senior Vice President, Model Risk Management for its New York, NY location.

DUTIES: Evaluate the implementation and modification to a suite of interconnected 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. Execute enterprise standards for model validation on a large and/or interconnected scale. Identify and evaluate model risk and engage model owners and business users to agree on possible controls. Create review schedules for projects and ensure resources are assigned to the project. 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. Forecast for model review activities that occur on a large or interconnected scale, and create validation and review schedules for projects. Coordinate work in one of five disciplines, each responsible for a different type of modeling: 1) Credit Risk Modeling 2) Treasury Modeling 3) Market Risk Modeling 4) Pricing Modeling 5) Forecasting. For model review activities that occur on a large or interconnected scale, create validation and review schedules for projects and ensure analyst resources are assigned to the project. Execute enterprise standards for model validation, by setting the scope of a validation effort for large and/or interconnected models by designing the tests and review activities necessary to evaluate a model or suite of models. Evaluate the strengths and weaknesses of a model's conceptual framework to identify situations where a model may become less useful. Review accuracy of reports and calculations performed by less experienced colleagues. Engage model owners and business users of models to agree on possible controls that have been identified as part of a validation efforts. Remote work may be permitted within a commutable distance from the worksite.

REQUIREMENTS: Master's degree, or foreign equivalent, in Computational Finance, Economics, Mathematics, Physics, Statistics, Engineering, Econometrics, or a related field, and three (3) years of experience in the job offered or in a related quantitative occupation. Three (3) years of experience must include: Performing quantitative modelling, numerical analysis, and computational methods using programming languages including C/C++, C#, Java, FORTRAN, MATLAB, SAS, Python, R as well as mathematical/statistical software packages; Performing financial modeling techniques, including value-at-risk type of models, interest rate models, risk quantification and forecast models, and stochastic calculus to execute enterprise standards for model valuation and identify model risk; Using data summary and visualization, hypothesis testing, estimation, regressions, time series analysis, and machine learning; Conducting independent research, analyzing problems, formulating, and implementing solutions, and producing quality results on time, with a strong focus on validating and assessing complex financial models including in-depth examination of model assumptions, methodologies, and strengths and weaknesses, as well as identifying of model usage under different scenarios; and Designing quantitative testing aimed at identifying assumptions and limitations of complex models for derivatives pricing, market and counterparty credit risk management and trading. Salary Range: $155,000.00 to $221,000.00/yr. Qualified applicants please apply online at https://bnymellon.eightfold.ai/careers and utilize reference code #67973. Please indicate "referral source - advertisement - WEB."

The Bank of New York Mellon assesses market data to ensure a competitive compensation package for our employees. The base salary/range for this position is expected to be $155,000.00 to $221,000.00/yr per year at the commencement of employment. Base salary if hired will be determined on an individualized basis, including as to experience and market location, and is only part of The Bank of New York Mellon total compensation package, which, depending on the position, may also include commission earnings, discretionary bonuses, short and long-term incentive packages, and Company-sponsored benefit programs.

This position is at-will, and the Company reserves the right to modify base salary (as well as any other discretionary payment or compensation) at any time, including for reasons related to individual performance, change in geographic location, Company or individual department/team performance, and market factors.