Market Risk Model Testing & Documentation - VP / ED, Corporate & Investment Banking
New York, United States of America
We are seeking a Quantitative Analyst to be a part of our Market Risk team at Santander Capital Markets.
Key Responsibilities
- Support Independent Model Review with Model Risk Management Group:
- Perform qualitative and quantitative assessments of all aspects of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing.
- Specific duties include: (i) assess conceptual soundness and performance of models based on detailed model documentation and testing results (ii) perform independent testing of model assumptions (iii) use quantitative tools and techniques to measure and analyze model risks; (iv) evaluate identified model risks and reach conclusions on strengths and limitations of the model; (v) conduct on-going communication with model stakeholders such as developers, owners and reviewers; and (vi) prepare detailed Model
- Development Documents on quantitative models for internal/external communications and/or regulatory compliance.
- Develops model frameworks by supporting the line of business.
- Refines, monitors, and validates existing models.
- Conducts on-going communication with model owners and model risk management team during the course of the review.
- Develop, test, implement and document risk analytics for new products. Conduct the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance.
- Perform quantitative research to implement model changes, enhancements and remediation plans
- Stakeholder Collaboration and Communication: Establish effective relationships with key stakeholders, including model owners and model validator.
- Communicate validation results and insights clearly and concisely to both technical and non-technical audiences, including regulatory staff members.
- Collaborate within the Model Risk Management team to enhance validation processes.
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Qualifications:
- Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a modeling background.
- 7-10 years of experience in market risk model development and/or validation within the financial services industry is highly desired.
- Experience with pricing and risk models for fixed income products
- Deep understanding of market risk measures, concepts, and regulatory rules: VaR, greeks, and Model Validation Testing
- Strong analytical skills required to understand quantitative models
- Strong knowledge and understanding of the fixed income products
- Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
- Hands-on experience with one or more of Python, R, MATLAB, and SQL
Diversity & EEO Statements: At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams. We actively encourage everyone to apply.
Santander is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, genetics, disability, age, veteran status or any other characteristic protected by law.
Working Conditions: Frequent Minimal physical effort such as sitting, standing and walking. Occasional moving and lifting equipment and furniture is required to support onsite and offsite meeting setup and teardown. Physically capable of lifting up to fifty pounds, able to bend, kneel, climb ladders.
Employer Rights: This job description does not list all of the job duties of the job. You may be asked by your supervisors or managers to perform other duties. You may be evaluated in part based upon your performance of the tasks listed in this job description. The employer has the right to revise this job description at any time. This job description is not a contract for employment and either you or the employer may terminate at any time for any reason.
Bachelor of Science (BS) English
Primary Location: New York, NY, Madison Ave Corp
Other Locations: New York-New York
Organization: Santander US Capital Markets LLC
The base pay range for this position is posted below and represents the annualized salary range. For hourly positions (non-exempt), the annual range is based on a 40-hour work week. The exact compensation may vary based on skills, experience, training, licensure and certifications and location.
Salary: $180,000 - $250,000/year
AN EQUAL OPPORTUNITY EMPLOYER M/F/Vet/Disabled/SO