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This is a hybrid role, with the expectation that time working will regularly take place inside and outside of a company office. This position is a senior level quantitative associate that directly supports the development of balance sheet forecasting models and base pricing models focusing on linear/non-linear FX derivatives and linear/non-linear IRD derivatives. The position sits within the Strategic Modeling and Analytics (SMA) team within the 1LOD Treasury Department. The SMA team owns and develops a wide spectrum of models, assesses applications in support of risk management efforts that measure the market risk and identify gaps in existing or proposed processes, and supports strategic decision making. A critical responsibility of the team will be to develop Basel 3 derivative base pricing functions and partner with key stakeholders to define a Basel 3 implementation strategy. Prior experience at a CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators, and auditors modeling methodology and model development decisions and documentation is recommended. Advanced proficiency in stochastic and deterministic derivative base pricing models used to derive present values or partials of derivatives is also recommended. Experience in industry-known pricing vendors (Calypso, Bloomberg, Numerix, RiskMetrics) will be highly regarded. The candidate will be responsible for establishing fit-for-purpose models, with strong governance, analytics, and documentation that aligns to SR 11-7 and SR 15-19. This is an individual contributor role that over time will grow in responsibility.
