Quantitative Risk Director

About DTCC:

With over 40 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry. From operating facilities and data centers around the world, DTCC automates, centralizes, and standardizes the processing of financial transactions across the trade lifecycle and mitigates risk for thousands of institutions worldwide.

At DTCC we value on our clients’ interests and partner to deliver superior results with excellence and innovation and lead with integrity. We proactively develop your potential and invest in your career.

Are you ready to explore a world of possibilities?

Join our DTCC family, and you’ll grow your expertise and become the best version of you. As you embark on a new journey, you’ll seek challenges with flexibility and patience, learning new skills and advancing your career while having the time of your life.

Why You’ll Love This Job:

Being a member of the Chief Risk Office the MBS (mortgage-backed securities) Specialist will focus on developing and improving risk management methodologies related to the mortgage asset class, in the context of risk management and valuation. The candidate should have experience modeling the cash flows and risks associated with mortgage-backed securities as well as building a risk analytics platform by integrating external vendor models. The specialist will use this experience to make strategic recommendations on modeling, risk management, and macroeconomic outlooks for portfolio risk management. The candidate will also be responsible for the development, maintenance of relationship management with other major mortgage analytics vendors, in the areas of model evaluation due diligence, change management, quantitative analysis, model performance monitoring, as well as peer benchmarking. This candidate is also the primary interface to the Regulators in presenting mortgage related analytic topics.

Your Primary Responsibilities:

• Lead mortgage prepayment models currently used by DTCC’s FICC group in risk modeling.
• Develop deep knowledge in portfolio characteristics and customer behavior through data mining, segmentation analysis, and market analysis.
• Supervise vendor and internal risk model performance and communicate results to internal partners and external regulators.
• Propose model changes as vital such as tuning and recalibration, supporting with sensitivity testing, back testing, and fundamental driver analyses
• Demonstrate understanding of related models that affect mortgage valuation and forecasting, including term structure, credit risk, and mortgage interest rate models.
• Interface successfully with Model Risk Management, Market Risk Management, Internal Audit, IT, and other cross-functional groups to facilitate periodic model monitoring and validation
• Interface optimally with regulators in discussing market trends, model performance, results of sensitivity analysis, and vendor service performance.
• Collaborate with vendor on periodic model/analytics update, upcoming release planning and execution, ongoing service dialog.
• Work with Data Integrity and other teams to ensure accurate Quality Assurance and Quality Control
• Propose improved approaches to modeling mortgage and other prepayment exposures.
• Educate and mentor colleagues on mortgage prepayment modeling.

**NOTE: The Primary Responsibilities of this role are not limited to the details above. **

Talents Needed for Success:

• 5+ years of experience in MBS modeling and/or model performance monitoring, experience building a risk analytics platform a strong plus
• Master’s degree in Finance/Mathematics/Engineering required. PhD a plus
• Familiarity with prepayment model, interest rate model, and VaR model
• Familiarity with at least one high level programming language (Python, C++, Java, etc.). Familiarity with SQL a strong plus.
• Excellent social skills, both oral and written. Ability to communicate quantitative concepts to financial professionals
• Strong analytical and problem-solving skills
• Familiarity with Covered Clearing Agency Standards a big plus

 

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.

About DTCC

DTCC safeguards the financial markets and helps them run efficiently, in times of prosperity and crisis. We are uniquely positioned at the center of global trading activity, processing over 100 million financial transactions every day, pioneering industry-wide, post-trade solutions and maintaining multiple data and operating centers worldwide. From where we stand, we can anticipate the industry’s needs and we’re working to continually improve the world’s most resilient, secure and efficient market infrastructure. Our employees are driven to deliver innovative technologies that improve efficiency, lower cost and bring stability and certainty to the post-trade lifecycle.

Our work environment favors openness and gives people freedom to do their jobs well, by encouraging diverse opinions and emphasizing teamwork. When you join our team, you’ll have an opportunity to make meaningful contributions at a company that is recognized as a thought leader in both the financial services and technology industries. A DTCC career is more than a good way to earn a living. It’s the chance to make a difference at a company that’s truly one of a kind.

Our Risk Management teams work to protect the safety and soundness of our systems and are responsible for identifying, managing, measuring and mitigating a spectrum of key risk types including credit, market, liquidity, systemic, operational and technology in all existing and new products, activities, processes and systems. 

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