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Quantitative Services Analyst - Model Governance & Volcker Reporting

Chicago, Illinois;

Job Description:

The Quantitative Services (QS) team is responsible for the Model governance and Volcker product monitoring for all Global Markets (GM) trades. 

As part of Model Governance, QS monitors the model used for official valuation to identify (i) products that are not valued using an approved model, and (ii) models that are not used within their approved restrictions. On a monthly basis, QS reports the result of the monitoring and reviews the model exceptions with different stakeholders (i.e. Model Risk, Quants, Traders and Tech) as part of the Model Control Working Groups (MCWG).

As part of the Volcker Monitoring, QS performs a daily monitoring all GM trades against the Approved Product List (APL) for each Volcker Trading Desk (VTD) and Legal Entity. QS is responsible for the overall governance of the APL Volcker reporting, which includes daily escalation of issues / exceptions, management of weekly and monthly reporting to the Volcker Control Forums (VCF).

Job Description:

Perform the Model Governance and Volcker Product monitoring, which includes daily escalation of issues / exceptions, and management of monthly reporting and tracking:

  • Monitoring of trades to identify products that are not approved for the Volcker Trading Desk (VTD) or Legal Entity.
  • Monitoring of Volcker Permitted Activities.
  • Monitoring of the models used for official valuation and if they are used within the approved restrictions.
  • Investigating any product/model issues to identify if they are true breaches or data quality issues.
  • Escalation of issues and exceptions to Global Market Risk (GMR), Model Risk Management (MRM), Trading desks, Front office Quants and tech teams.
  • Identify opportunities for process improvements and make recommendations for implementation.
  • Work with technology teams to enhance the monitoring process and implement new product and model restriction monitoring.
  • Support the development of QS product and model governance review policies and procedures, including documentation of the underlying data requirements, process flows, and reporting requirements across the platform.
  • Overall governance of the reporting and tracking of product and model issues.

The ideal candidate will be very analytical, a self-starter, be very comfortable working independently with significant amounts of data, maintain close attention to detail, look to understand process, be comfortable working in a fast-paced environment, and capable of handling multiple priorities. Additionally, the candidate will be expected to build strong working relationships with stakeholders including Front office Quants and COOs, VTD Heads, Market Risk, Model Risk, Technology, Finance, and other business partners. Candidates should expect to demonstrate process leadership and ownership.

Enterprise Role Overview:

Works as part of a broader team on delivery of quantitative projects. Will work under the guidance of a senior team member; However expectation is that they would be self-started who can work under minimal supervision. Interacts with cross functional teams to optimize tools & process flows. Will leverage strong quantitative and programming skills to build deep knowledge of the banks pricing & risk libraries and infrastructure. Key responsibilities include: Assist in the development of financial modeling tools for derivative products, applying the theory and mathematics behind various models; Builds out analytical and technical tools for validations of new models/methodology with minimal oversight; Develops reporting of various risk metrics complied with business and regulatory requirements; and Understands financial products across all asset classes and has extensive knowledge of technical implementations. Must have a bachelor's degree in a quantitative field with knowledge of probability, statistics and stochastic processes. Advanced degree preferred

Required Skills: (Must have these skills to be minimally qualified)

  • Technical aptitude working with VBA, SQL, Python or any other scripting language, or working knowledge of derivatives, trade attributes, and trade life cycle events.
  • Proficiency working with Excel spreadsheets and Databases.
  • Basic project management skills.
  • Attention to detail.
  • Ability to consistently deliver high quality output in an uncertain environment.
  • Strong problem resolution skills.
  • Clear verbal and written communication skills

Desired Skills:

  • Bachelor Degree - preferably in Business, Finance or Economics.
  • Visio and Tableau skills would an advantage.

Other Qualifications:

  • Strives to bring new thoughts and ideas to teams in order to drive innovation and unique solutions.
  • Excels in working among diverse viewpoints to determine the best path forward.
  • Experience in connecting with a diverse set of clients to understand future business needs – is a continuous learner.
  • Commitment to challenging the status quo and promoting positive change.
  • Participate in and drive collaborative efforts to advance tools, technology, and ways of working to better serve an evolving client base.
  • Believes in value of diversity so we can reflect, connect and meet the diverse needs of our clients and employees around the world.

Job Band:

H6

Shift: 

1st shift (United States of America)

Hours Per Week:

40

Weekly Schedule:

Referral Bonus Amount:

0

Job Description:

The Quantitative Services (QS) team is responsible for the Model governance and Volcker product monitoring for all Global Markets (GM) trades. 

As part of Model Governance, QS monitors the model used for official valuation to identify (i) products that are not valued using an approved model, and (ii) models that are not used within their approved restrictions. On a monthly basis, QS reports the result of the monitoring and reviews the model exceptions with different stakeholders (i.e. Model Risk, Quants, Traders and Tech) as part of the Model Control Working Groups (MCWG).

As part of the Volcker Monitoring, QS performs a daily monitoring all GM trades against the Approved Product List (APL) for each Volcker Trading Desk (VTD) and Legal Entity. QS is responsible for the overall governance of the APL Volcker reporting, which includes daily escalation of issues / exceptions, management of weekly and monthly reporting to the Volcker Control Forums (VCF).

Job Description:

Perform the Model Governance and Volcker Product monitoring, which includes daily escalation of issues / exceptions, and management of monthly reporting and tracking:

  • Monitoring of trades to identify products that are not approved for the Volcker Trading Desk (VTD) or Legal Entity.
  • Monitoring of Volcker Permitted Activities.
  • Monitoring of the models used for official valuation and if they are used within the approved restrictions.
  • Investigating any product/model issues to identify if they are true breaches or data quality issues.
  • Escalation of issues and exceptions to Global Market Risk (GMR), Model Risk Management (MRM), Trading desks, Front office Quants and tech teams.
  • Identify opportunities for process improvements and make recommendations for implementation.
  • Work with technology teams to enhance the monitoring process and implement new product and model restriction monitoring.
  • Support the development of QS product and model governance review policies and procedures, including documentation of the underlying data requirements, process flows, and reporting requirements across the platform.
  • Overall governance of the reporting and tracking of product and model issues.

The ideal candidate will be very analytical, a self-starter, be very comfortable working independently with significant amounts of data, maintain close attention to detail, look to understand process, be comfortable working in a fast-paced environment, and capable of handling multiple priorities. Additionally, the candidate will be expected to build strong working relationships with stakeholders including Front office Quants and COOs, VTD Heads, Market Risk, Model Risk, Technology, Finance, and other business partners. Candidates should expect to demonstrate process leadership and ownership.

Enterprise Role Overview:

Works as part of a broader team on delivery of quantitative projects. Will work under the guidance of a senior team member; However expectation is that they would be self-started who can work under minimal supervision. Interacts with cross functional teams to optimize tools & process flows. Will leverage strong quantitative and programming skills to build deep knowledge of the banks pricing & risk libraries and infrastructure. Key responsibilities include: Assist in the development of financial modeling tools for derivative products, applying the theory and mathematics behind various models; Builds out analytical and technical tools for validations of new models/methodology with minimal oversight; Develops reporting of various risk metrics complied with business and regulatory requirements; and Understands financial products across all asset classes and has extensive knowledge of technical implementations. Must have a bachelor's degree in a quantitative field with knowledge of probability, statistics and stochastic processes. Advanced degree preferred

Required Skills: (Must have these skills to be minimally qualified)

  • Technical aptitude working with VBA, SQL, Python or any other scripting language, or working knowledge of derivatives, trade attributes, and trade life cycle events.
  • Proficiency working with Excel spreadsheets and Databases.
  • Basic project management skills.
  • Attention to detail.
  • Ability to consistently deliver high quality output in an uncertain environment.
  • Strong problem resolution skills.
  • Clear verbal and written communication skills

Desired Skills:

  • Bachelor Degree - preferably in Business, Finance or Economics.
  • Visio and Tableau skills would an advantage.

Other Qualifications:

  • Strives to bring new thoughts and ideas to teams in order to drive innovation and unique solutions.
  • Excels in working among diverse viewpoints to determine the best path forward.
  • Experience in connecting with a diverse set of clients to understand future business needs – is a continuous learner.
  • Commitment to challenging the status quo and promoting positive change.
  • Participate in and drive collaborative efforts to advance tools, technology, and ways of working to better serve an evolving client base.
  • Believes in value of diversity so we can reflect, connect and meet the diverse needs of our clients and employees around the world.

Shift:

1st shift (United States of America)

Hours Per Week: 

40

Learn more about this role

Full time

JR-21039261

Band: H6

Manages People: No

Travel: No

Manager:

Talent Acquisition Contact:

Viviana Renshaw

Referral Bonus:

0