Principal, Model Risk Management

Key Skills

C# Programming, C++, Data science techniques, Effective communication skills, Git, Machine learning techniques, MATLAB Programming, Python Programming, R Programming, Writing

Job Description

Your role

• As a Model Risk Principal you will be responsible for reviewing models to identify and evaluate their risk and ensuring controls manage that risk. This requires designing and executing tests for model assumptions and outcomes.
• You will contribute to the development of internal tools used for validation. The role may require building shadow models that run alongside those in production, allowing MRMG to monitor performance in real time.
• You will guide junior colleagues on selected projects and contribute to their professional development.
• We are welcoming experts willing to learn about models, financial markets and products. Colleagues who are keen to use analytical curiosity to dive in different projects with support of our team. We are using knowledge we have learned in academia every day to solve problems that have worldwide impact. Our team secures actions and decisions taken by one of the largest custodian bank in the world, it gives us great pleasure, satisfaction and endless possibilities to grow.

Requirements:

• Master's Degree or PhD degree in a quantitative discipline (mathematics, statistics, econometrics, physics or engineering)
• 7+ years of relevant experience after Master’s degree / 3+ years of relevant experience after PhD degree),
• Superb quantitative and analytical background with a solid theoretical foundation,
• Programming skills in one of those languages: Python, C++, C#, R, Matlab or similar.
• Excellent communication and writing skills.
• Passion for markets and financial products, statistics, econometric modeling, data science or machine learning.

Preferred Skills:

• Familiarity with financial engineering libraries (e.g., QuantLib) or tools supporting code maintenance (e.g., Git, SVN).
• Experience in working with key stakeholders (senior management, regulators, model developers, auditors) and handling complex projects.
• Certificates (CQF, FRM, PRM).

BNY Mellon assesses market data to ensure a competitive compensation package for our employees. The base salary for this position is expected to be between $125,000 and $175,000 per year at the commencement of employment. However, base salary if hired will be determined on an individualized basis, including as to experience and market location, and is only part of the BNYM 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.