Senior Quant Analytics — Model Risk & ML Validation (Remote)

KeyBank; Buffalo (NY); On-site; USD 96,000 - 181,000; Full time

Job summary

KeyBank seeks a Senior Quantitative Analytics Associate to validate models for Market Risk, IRRBB, and Liquidity, employing machine learning to enhance validation efforts. You will work with advanced pricing and risk models, translating complex concepts into clear insights for partners.

The role emphasizes exposure to regulatory frameworks (SR11-07, FRTB, SIMM) and hands-on use of tools like Calypso, Bloomberg, and GCP within a dynamic risk environment.

Qualifications

• Master's degree in a quantitative discipline with 2+ years of relevant experience.
• Familiarity with Market Risk, IRRBB, and Liquidity concepts.
• Familiarity with SR11-07, IRRBB regulations, Market Risk Rule, FRTB, and SIMM.
• Exposure to market risk pricing models, term structure models, hedging models, asset liability models, deposit pricing and runoff models, or other risk models spanning interest rate derivatives, commodities, FX, CDS, fixed income, and equity.

Responsibilities

• Validate models for Market Risk, IRRBB, Liquidity, and other risk areas
• Apply machine learning techniques to enhance and support model validation processes
• Deliver insightful analysis to address complex business problems
• Communicate findings effectively to partners, translating complex theories into easy-to-understand language

Skills

Market Risk

IRRBB

Liquidity

Machine Learning

Model Validation

Communication

Education

Master's degree in a quantitative discipline

Tools

Calypso

RiskWatch

Bloomberg

QRM

BlackRock

GCP

Job description

KeyBank seeks a Senior Quantitative Analytics Associate to validate models for Market Risk, IRRBB, and Liquidity, employing machine learning to enhance validation efforts. You will work with advanced pricing and risk models, translating complex concepts into clear insights for partners.

The role emphasizes exposure to regulatory frameworks (SR11-07, FRTB, SIMM) and hands-on use of tools like Calypso, Bloomberg, and GCP within a dynamic risk environment.