BNY Mellon QRM Framework Development Leader in New York, New York
The position leads the development of the QRM risk framework for liquidity modeling and stress testing. While a sole contributor, the constituent will work closely with a small, agile team and lead by example and proven expertise in both quantitative finance and QRM modeling. Must be a QRM expert with demonstrated experience using QRM risk framework, MR, and liquidity modeling features and functions.
This Senior Principal role is in the Liquidity Platform Management group in the Asset/Liability Management department of Corporate Treasury. The position reports to the head of the liquidity platform management group. Typically, this is an independent contributor role requiring strong collaboration with peers and less seasoned colleagues, although occasionally will require the leadership of others. Strong collaboration and teamwork mindset are important. Expert level familiarity with QRM Risk Management Framework is a necessity.
Research new modes of analysis to measure and management liquidity risk - 30% of time
Develop and propose methodologies to implement new, or revised, liquidity modeling assumptions or ad hoc analyses in our modeling infrastructure - 30% of time
Test and evaluate new feature and functionality of QRM for measuring and managing liquidity risk - 20% of time
Design and implement new liquidity reporting methodologies and techniques - 20% of time
Presentations to risk management committees on modeling techniques, features, functionality, and methodology
Documentation of models and workflow
Education and enablement of colleagues of developed models and workflows
Development of modeling and process controls
Project and scrum management in an agile context
Participation on cross-discipline working groups and forums
No direct reports. Provides leadership to less experienced team members, guiding and coaching them on their work accuracy and quality. Provides significant project leadership in areas of critical importance, including informal performance management of assigned project teams. Contributes to the technical direction of discipline.
Contributes to the achievement of functional objectives. Advice has direct impact on the risk or financial position of the entity(ies) supported.
Minimum of 12-15 years of total work experience in ALM preferred, of which 10-years of experience should be hands on with QRM. Experience with liquidity stress testing, liquidity risk management, interest rate risk management, capital management and/or asset-liability management within large complex financial organizations preferred.
Bachelor's degree in finance or related field (Computational or Quantitative Finance
Desired, but not necessary: Master's degree, or equivalent experience, in a quantitative finance field: Finance, Risk Management, Financial Engineering, Statistics, Applied Mathematics, Economics, Computer Science et cetera
Familiarity with interest rate risk modeling or liquidity modeling, model risk management, and general risk management principals
Important tools used by the person:
QRM Risk Management Framework (over 10-year hands-on experience)
Microsoft Office, PowerBI, Project, SharePoint, and Visio
Python, R, or SAS
BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer.
Minorities/Females/Individuals With Disabilities/Protected Veterans.