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CIB QR - Quantitative Research Model Risk Methodologies – Quant Developer – VP

Req #: 170116989
Location: Jersey City, NJ, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 3000 US Dollar (USD)
Quantitative Research – Model Risk Methodologies – Quant Developer – VP
CIB Quantitative Research (QR) provides quantitative support for the Investment Bank lines of businesses and key corporate areas. As we continue to transform our model risk management and model development practices across the coverage areas, the Model Risk Methodologies group is responsible for coordination across asset class-aligned QR groups on all model risk matters, including centralized model risk reporting, establishing consistent standards and practices, and building out common analytics and toolsets. Part of the wider QR organization, the group also has a significant outward facing role in its partnership with control functions such as Model Governance, Model Review, Market Risk, Valuation Control Group and with Technology. The team is seeking talented individuals to fill a variety of roles with quantitative, commercial, software development, governance and control-oriented skillsets.
Job Summary:
The QR Model Risk Methodologies team is looking for developers to build out and support a new Model Risk Reporting framework and other toolsets for model risk management across the QR groups. The code is a combination of Python and C++: C++ for high-speed analytics and Python for flexibility and rapid, but controlled, releases.
The role consists of:
  • Building out the Model Reporting framework with new capabilities for calculating and viewing a variety of model risk metrics.
  • Working closely with other QR groups to onboard our various model analytics onto the new framework.
  • Liaising with Technology groups to integrate the Model Reporting framework with other systems.
  • Helping design and build out other tools and analytics for managing model risk.
  • Supporting the users amongst QR, Model Governance and other groups in using our systems.
  • Identify opportunities for (improved) automation of existing and new workflows.
  • Work as a key member of a team responsible for establishing new practices for model risk management.
Required Skills:
  • Applied development experience in one or more object-oriented languages, such as Python, C++, Java, C#
  • Excellent analytical and problem solving skills
  • Good communication skills
  • PhD or Master’s degree or equivalent from top tier schools/programs in Computer Science, Mathematics, Mathematical Finance, Physics, or Engineering.
  • Understanding of trading and modeling of financial securities; affinity with financial modeling concepts
Preferred Skills:
  • Knowledge of financial derivatives and options theory
  • Experience in, or exposure to, model validation or model development
  • Experience with object oriented design
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