Model Validation Associate Director

Are you ready to make an impact at DTCC?

Do you want to work on innovative projects, collaborate with a dynamic and supportive team, and receive investment in your professional development? At DTCC, we are at the forefront of innovation in the financial markets. We are committed to helping our employees grow and succeed. We believe that you have the skills and drive to make a real impact. We foster a thriving internal community and are committed to creating a workplace that looks like the world that we serve. 

Pay and Benefits: 

• Competitive compensation, including base pay and annual incentive
• Comprehensive health and life insurance and well-being benefits, based on location
• Pension / Retirement benefits
• Paid Time Off and Personal/Family Care, and other leaves of absence when needed to support your physical, financial, and emotional well-being.
• DTCC offers a flexible/hybrid model of 3 days onsite and 2 days remote (onsite Tuesdays, Wednesdays and a third day unique to each team or employee). 

The Impact you will have in this role:
 

Being a member of the Model Risk Management (MRM) Team, the Model Validation Associate Director is responsible for overseeing enterprise-wide MRM and supporting front-line units in leading model risk. MRM provides oversight of day-to-day activities to identify, measure, monitor, and handle risk related to the design, development, and implementation and use of models. Per the Federal Reserve Supervision and Regulator guidance (SR 11-7), Model Validation is the set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses. Effective validation helps to ensure models are sound, identifying potential limitations and assumptions and assessing their possible impact. All model components, inputs, processing, outputs, and reports, are subject to validation and applies equally to models developed in-house and to those purchased from or developed by vendors or consultants. The Model Validation team is also responsible for evaluating the Model Performance Monitoring Plan for each model, and continuously assessing the results. 

Your Primary Responsibilities: 

• Perform hands-on validations and reviews, write quality model validation reports, and provide model approvals.
• Collaborate with the Project Management Office (PMO) to maintain a viable model validation schedule, coordinate and oversee model validation, and review performed by the model validators to ensure timeliness, quality, and effective challenge.
• Work with the model owner, model developer, and model user on all aspects 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 results and finding resolutions to the Model Risk Governance Council (MRGC).
• Collaborate with the Operations & Management Assurance (OM&A) team to ensure the highest quality of validation, annual review, and Model Performance Monitoring (MPM) reports.
• Collaborate with the auditors and regulators on all aspects of model validation.
• Challenge the model performance and methodologies at monthly MRGC review meeting.
• Perform ad hoc analysis to identify model limitations and performance issues. Recommend action plan for remediation.
• Review Model Performance Monitoring (MPM) metrics and plans according to firmwide Model Performance Monitoring (MPM) standards and opine on the appropriateness of the metrics and plans.
• Present Model Performance Monitoring (MPM) reviews, oversight results, and finding resolutions to the Model Risk Governance Council (MRGC).
• Challenge Model Performance Monitoring (MPM) reports at monthly Model Risk Governance Council (MRGC) review meeting.
• Review low-tier models and non-models and implement established controls.
• Knowledge of the financial market and products. Experience in model validation and or model development. Familiarity with regulatory requirements on Model Risk Management(SR 11-7 and CCAS rules).
• Proficiency in programming languages (For example, SQL, Python, R, SAS, C/C ).
• Mitigates risk by following established procedures and monitoring controls, spotting key errors and demonstrating strong ethical behavior.

Qualifications:

• Ph.D. or master’s degree in quantitative finance, mathematics, economics, financial engineering, or other quantitative fields
• 3-5 years of related experience, ideally in financial risk model validation, risk analytics or quantitative modeling

Talents Needed for Success:

• Familiar with banking, financial institutions, financial instruments, and capital 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 authority knowledge on VaR modeling and VaR model back testing methodologies
• Strong mathematical background, especially in probability theory, stochastic processes, and PDE’s
• Economic modeling and applied statistics skills (i.e., estimation, time series modeling, Monte Carlo simulation techniques, etc.)
• High Level of digital literacy, ability to work efficiently with MATLAB, Excel (VBA), SQL, R, Python or C
• Excellent written and verbal communication and presentation skills, ability to communicate quantitative concepts to financial professionals
• Knowledge of prepayment modeling, MBS pricing and risks is a plus
• Knowledge and experience on data science and Machine Learning technics/languages is desired
• SEC Covered Clearing Agency Standards

The salary range is indicative for roles at the same level within DTCC across all US locations. Actual salary is determined based on the role, location, individual experience, skills, and other considerations. 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.