BNY Mellon powers individuals and institutions to succeed in the global economy providing investment management, investment services and wealth management. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK).
With a dedicated business presence on six continents and in 35 countries, BNY Mellon delivers global scale at the local level.
The Global Delivery Centre in Wroclaw is a growing location, predominately providing support services to BNY Mellon entities in the areas of fund accounting and investment operations.

Team overview
Job Description

This is a highly visible position within Market Risk group, we are looking for talented and creative quantitative modelers who will be responsible for implementation, maintenance, and debugging of Bank of New York Mellon main model for its counterparty risk exposure and market risk framework that include credit and liquidity risk components as well.
The model use includes regulatory reporting purposes such as RWA and Basel; key input to management decisions and reporting to Senior Management and the Board of Directors on a regular basis. Incumbent must be able to provide intellectual leadership in terms of conducting cutting-edge research, identifying latest trends and developments in modeling, and recommending alternative solutions to analytically challenging problems. The incumbent should be an expert in risk management concepts and quantitative modelling area.

Your role

• Market Risk Modeling and Pricing of a wide variety of financial asset classes, PFE and VaR calculations for counterparty credit limit 
• Perform backtesting, benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic
• Communicating with trading desks and legal department to understand the business and legal aspects of the trades that could impact in risk aggregation,
• Interact with technology for market data standard and model integration, and also model risk management group for timely delivery of model maintenance
• Lead and manage resources for Risk and Compliance Global Centers to enable the success of the department by:
  • managing resources through active management (hold regular one-on-ones), developing our resources (support training goals) and engaging the team (build talent, onboard, recruit)
  • communicating with peers and management regularly to proactively surface issues, identify opportunities and escalate when necessary
  • conducting responsibilities of the Local Manager in a manner that build a sense of community
  • execute on administration within R&C or Corporate guidelines

Qualifications:

A successful candidate needs to demonstrate his/her ability to solve complicated modeling problems. A Ph.D. or Master’s degree in mathematics, physics, engineering, or other quantitative field is a plus, but not an absolute requirement.

Essential experience/skills:

• Strong quantitative background and creative problem solving skills with an ability to describe complex systems in simple terms. 
• Previous experience in a team lead position or people manager’s role
• Advanced experience in programming languages (Python, C/C++, R, MATLAB)
• Ability to work in a high-pressure environment and a good team player.
• Must be extremely focused, detail oriented, results oriented and highly productive.
• Prior experience of financial products such as RMBS/CMBS/ABS is a plus.   
• Excellent communication and writing skills.

Our offer

• Full time contract of employment
• City Centre locations close to main railway station and flexible working arrangements
• Flexible benefits package, including life and medical insurance, health screening, fitness discount programme, employee assistance program
• Award-winning Wellbeing Program supporting you with your unique health and wellbeing needs
• Pension scheme
• On-site childcare and a parental buddy programme
• Exciting opportunities for career and global mobility
• Diverse and inclusive environment
• Employee Referral Program
• Recognition programmes
• A multitude of opportunities to get involved in charity projects and Employee Resource Groups (ERGs)