Manager, Quantitative Analysis - Model Risk Office

Discover Financial
New York
Workplace: OnsiteFull timeUSD 215,200 - 245,600 annuallyFunction: Capital Markets, Trading & QuantExperience: 4+ yearsEducation: mastersSkills: ["Communication","Stakeholder management","Collaboration","Continuous improvement","Documentation"]

Lead model validation for market risk models used in derivative valuation and risk management, ensuring their accuracy and robustness across a wide range of portfolios. Partner with the Model Risk Office and business stakeholders to assess model design, evaluate econometric/statistical and machine learning methods, and improve ongoing model performance through best practices. Communicate complex quantitative findings clearly to technical and non-technical audiences, including regulators and senior management.

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Discover Financial
Discover Financial
1 month ago

Manager, Quantitative Analysis - Model Risk Office

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Job Summary

Lead model validation for market risk models used in derivative valuation and risk management, ensuring their accuracy and robustness across a wide range of portfolios. Partner with the Model Risk Office and business stakeholders to assess model design, evaluate econometric/statistical and machine learning methods, and improve ongoing model performance through best practices. Communicate complex quantitative findings clearly to technical and non-technical audiences, including regulators and senior management.
Location: New York
Workplace: Onsite
Employment Type: Full time
Job Function: Capital Markets, Trading & Quant
Seniority: Manager level

Key Responsibilities

  • •Validate models used for derivative pricing and risk management, including derivative valuation, market risk, and counterparty risk models.
  • •Develop model approaches to assess model design and advance future capabilities.
  • •Apply econometric, statistical, and machine learning knowledge to develop models and assess model risks and opportunities.
  • •Communicate complex technical concepts and research results clearly through presentations and written communication to diverse stakeholders.
  • •Maintain model efficiency and accuracy through continuous improvement, best practices, and high-quality transparent documentation.

Pay and Benefits

Salary: USD 215,200 - 245,600 annually

Key Requirements

  • •Master’s degree in a quantitative field (or MBA with quantitative concentration) plus quantitative analytics experience, or a PhD in a quantitative field.
  • •At least 4 years of experience in statistical or econometric modeling, including linear and logistic regression.
  • •Programming experience in R, Python, or SQL, plus presenting statistical concepts to non-statistical audiences.
  • •At least 4 years of experience in at least 3 areas such as survival analysis, time-series, panel data, cross-sectional data analysis, machine learning, or managing large datasets.
  • •Experience with derivative modeling and/or CCAR regulatory requirements, along with Agile development methodologies.
Experience:4+ yearsFinancial servicesMarket riskModel validationDerivativesMachine learning
Education:Master's
Skills:CommunicationStakeholder managementCollaborationContinuous improvementDocumentation
Tech Stack:PythonRSQLMachine learningOpen sourceCloud computingAgile

Eligibility

Work Authorization:Sponsorship available.

Company Brief

Discover Financial
Provides consumer banking products, credit cards, personal loans, and payment services through the Discover brand. It operates a major U.S. financial network and serves individuals and merchants with lending and digital payment solutions.
Industry: Retail Banking
Company Size: Enterprise (1,001+ employees)
Revenue: USD 10M to 25M
Growth: Public Company
Valuation: Public Company (Market Cap in USD)
Funding: IPO / Publicly Listed
Headquarters: Riverwoods, United States
Founded: 1985
WebsiteLinkedIn