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.

Model Risk Management (MRMG) oversees all modeling in the firm. It aims to stop models from exposing the firm to risk. To do so, it sets up the process to develop and maintain models and approves all models for use. This is accomplished by rigorous review, investigations that question assumptions, test outcomes, and find the limits of methodologies.
MRMG operates as a global group, working from three continents.  The team in Poland is the European center for MRMG. Its highly visible roles come with significant responsibility in the decision-making process.
The Principal Specialist  will contribute to the enterprise-wide model validation function. The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. The role provides constant quantitative challenges and growing opportunities due to the diversity of projects and programs.

As a Model Risk Principal Specialist, you will be responsible for reviewing models to identify and evaluate their risk and ensuring controls manage that risk. This requires designing and executing tests for model assumptions and outcomes. 
You will contribute to the development of internal tools used for validation. The role may require building shadow models that run alongside those in production, allowing MRMG to monitor performance in real time. 
You will guide junior colleagues on selected projects and contribute to their professional development.   

This role will focus on two areas:
1) Pricing Modeling – you will have exposure to complex pricing models for financial instruments from key asset classes: interest rate, FX and equity derivatives (e.g., swaps, vanilla and exotic options) used for Front Office pricing and risk applications. You will also learn how to construct interest rate curves and volatility surfaces.
2) Market Risk Modeling – you will see how complex models are used to calculate market and counterparty credit risk measures using high-profile estimation techniques.

Requirements:

•  Master's Degree or PhD degree in a quantitative discipline (mathematics, statistics, econometrics, physics, or engineering)
•  5+ years of relevant experience after Master’s degree / 3+ years of relevant experience after PhD degree)
•  Superb quantitative and analytical background with a solid theoretical foundation.
•  Programming skills in one of those languages: Python, C++, C#, R, Matlab or similar. 
•  Excellent communication and writing skills.
•  Passion for markets and financial products, statistics, econometric modeling, data science or machine learning. 

You will be in the best position for this role by having:
•  Familiarity with financial engineering libraries (e.g., QuantLib) or tools supporting code maintenance (e.g., Git, SVN).
•  Experience in working with key stakeholders (senior management, regulators, model developers, auditors) and handling complex projects.
•  Certificates (CQF, FRM, PRM).

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)