Senior Quantitative Analyst

THE DEPOSITORY TRUST & CLEARING CORPORATION SEEKS:

Title: Senior Quantitative Analyst

Job Duties: Support financial models and systems used for risk analysis and management at DTCC. Implement and enhance Backtesting (BT) programs across all CCPs (Central Counter Parties) and DTC, which may consists of: a) BT governance and control; b) design, implement, and maintain BT engines and reports; c) Enhance BT methodology. Work on model performance monitoring program enhancement and introduce innovative ideas to unify the model performance monitoring with Backtesting.

Responsibilities:

• Monitor production backtesting results, investigate BT deficiencies
• Develop and maintain BT engine code in Python or in other programming language such as SQL, work closely with IT teams to deploy BT engine code into production
• Work closely with quant groups and risk managers to proactively identify model issues through model performance monitoring metrics as well as backtesting metrics
• Perform in-depth model performance analysis and deficiency driver analysis for back tests. Provide results to upper management and client facing risk managers
• Perform ad hoc model performance analysis and deficiency driver analysis for Backtest
• Interact and assist other teams such as the model validation team as well as with DTCC internal audit team.

Job Requirements: Master's degree in Quantitative Finance, Economics, Statistics or other related quantitative field and 3 years of experience in the job or related position. Prior experience to include:

• Quantitative modeling of financial instruments for both equity and fixed-income securities
• Working with financial markets and financial instruments/products (including equities, ETFs corp/muni bonds, treasuries, and mortgages)
• Financial risk management, including the use of VaR and backtesting.
• Statistics used in financial risk management (including various statistical distributions, hypothesis testing, etc.).
• Programing languages including SQL and Python.
• Experience with database products including Microsoft SQL Server and Snowflake.

Telecommuting may be permitted a few days a week. When not telecommuting, must report to DTCC's office in Jersey City, NJ.

LOCATION: Jersey City, NJ. Telecommuting may be permitted a few days a week. When not telecommuting, must report to DTCC's office in Jersey City, NJ.

SALARY: $100,547.00-197,000.00 per year.

APPLY: Please e-mail resume with cover letter to DTCC at , reference Job Code 8751586/ Senior Quantitative Analyst/ Jersey City, NJ

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