Quantitative Risk Associate Director

Quantitative Risk Management, QRM is responsible for the development and support of models and methodologies for the quantification of risk.

QRM also carries out quantitative analysis and other analytical support to firms\' risk management and other business needs.

Quantitative Risk Management (QRM) is responsible for the development and support of models and methodologies for the quantification of risk.

QRM also carries out quantitative analysis and other analytical support for DTCC\'s risk management and other business needs.

RESPONSIBILITIES:

Maintain and enhance in-house fixed income risk models.

Produce model performance metrics and analytics to support communications with both internal model users and external supervisors.

Explain model behavior, carrying out scenario analyses, develop new quantitative analysis tools.

Maintain key data source for groups model development and quantitative analyses.

Mitigates risk by following established procedures and monitoring controls, spotting key errors and demonstrating strong ethical behavior.

QUALIFICATIONS:

Master’s degree or higher in a quantitative field of study.

5+ years of hands-on experience in quantitative models, research, with deep understanding in fixed income market.

Fluent in Python and SQL

Knowledge of Treasury Securities and/or MBS pricing and VaR modeling a big plus.

Strong Analytical, quantitative and problem solving skills, as well as demonstrated research skills.

Good communication skills, both oral and written.

Excellent attention to detail and focus on quality of deliverable.

ABOUT DTCC: With 50 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry. From 20 locations around the world, DTCC, through its subsidiaries, automates, centralizes, and standardizes the processing of financial transactions, mitigating risk, increasing transparency, enhancing performance, and driving efficiency for thousands of broker/dealers, custodian banks and asset managers. Industry owned and governed, the firm innovates purposefully, simplifying the complexities of clearing, settlement, asset servicing, transaction processing, trade reporting and data services across asset classes and bringing increased security, enhanced resilience, and soundness to financial markets. In 2022, DTCC’s subsidiaries processed securities transactions valued at U.S. $2.5 quadrillion and its depository subsidiary provided custody and asset servicing for securities issues from over 150 countries and territories valued at U.S. $72 trillion. DTCC’s Global Trade Repository service, through locally registered, licensed, or approved trade repositories, processes more than 17.5 billion messages annually. Skills : Quantitative Risk, • Quantitative Risk Management, QRM, Risk Management, Fixed Income Risk Models, Fixed Income, Risk Models, Quantitative Models, Fixed Income Market, Python, SQL, Treasury Securities, MBS Pricing, VaR Modeling, VaR.

Direct hire