Senior Specialist, Model Risk Developer

BNY Mellon; Pittsburgh (Allegheny County); On-site; USD 110,000 - 160,000; Full time

Job summary

BNY Mellon in Pittsburgh, PA or Lake Mary, FL, seeks Senior Specialist, Model Risk Developer to join the Modeling & Analytics team. You will develop, enhance and document macroeconomic forecasting methodologies and support the execution of forecasts used in risk scenarios.

The role involves collaboration with vendors, forecasting partners and downstream modelers across Finance, Treasury and Model Risk Management. Strong programming in R is desired.

Qualifications

• Master's degree in Economics/Econometrics/Quantitative Finance/Statistics/Mathematics or related field; PhD a plus.
• 2+ years of work experience in research/forecasting for a leading financial institution or similar, with strong economics background.
• Experience in forecasting and statistical analysis of macroeconomic and/or financial modeling a plus.
• Strong programming and documentation skills; experience with R, Python, EViews, Stata is a plus.
• Excellent organizational and communication skills; ability to meet deadlines under pressure.
• Ability to work both independently and in teams, sharing information and supporting colleagues.

Responsibilities

• Develop, enhance and document macroeconomic forecasting methodologies.
• Support execution of macroeconomic forecasts for scenarios, working with vendors and forecasting partners.
• Manage inbound questions, deliverables and ad-hoc requests with focus on accuracy and timeliness.
• Interact with downstream modelers and bank units such as Finance, Treasury, Model Risk Management.
• Demonstrate strong interpersonal and negotiation skills in a complex, multi-priority environment.

Skills

Macroeconomic forecasting

R programming

Data analysis

Communication skills

Education

Master's degree in Economics / Econometrics / Quantitative Finance / Statistics / Mathematics

PhD is a plus

Tools

R

Python

EViews

Stata

Job description

Team Description

We're seeking a future team member for the role of Senior Specialist, Model Risk Developer to join our Modeling & Analytics team. This role is located in Pittsburgh, PA or Lake Mary, FL.

The Economic Forecasting Group (EFG) is part of the Risk Modeling and Analytics (RMA) group within the Risk & Compliance (R&C) division of the Bank of New York (BNY). EFG is responsible for scenario design and expansion in support of several exercises including (1) the BNY's regulatory stress-testing (including the CCAR/DFAST and EBA/ECB stress tests), (2) quarterly CECL/IFRS 9 reserve estimation, and (3) ad hoc scenario-based analyses as frequently as requested by senior management. The scenarios provided by EFG encompass the joint evolution of macroeconomic aggregates (GDP, consumption, unemployment, etc.) and financial market indicators spanning several distinct asset classes.

In this role, you'll make an impact in the following ways:

• The candidate will be responsible for the development, enhancement and documentation of macroeconomic forecasting methodologies.
• The candidate will also support the execution of macroeconomic forecasts that make up the scenarios, working closely with vendors and key forecasting partners in the company, and consumers of the scenarios and subject matter experts.
• He/she will also assist in managing inbound questions, deliverables and ad-hoc requests with an emphasis on accuracy and timeliness of meeting deliverables on prescribed timelines.
• This role requires regular (written and verbal) interactions with downstream modelers that uses macroeconomic scenarios and various units in the bank such as Finance, Treasury, Model Risk Management.
• Good inter-personal and negotiation skills are a key factor to accomplishing goals when interacting in a complex, multiple-priority environment.
• Strong programming skills in R is desired.

To be successful in this role, we're seeking the following:

• Strong quantitative skills: Master's degree in a quantitative discipline, including Economics/ Econometrics/Quantitative Finance/Statistics/Mathematics, etc. is required; PhD is a plus
• 2+ years of work experience in research/forecasting/business analytics for a leading financial institution/central bank, consulting firm or similar, with a strong background/interest in economics
• Experience in forecasting and statistical analysis of macroeconomic and/or financial modeling a plus
• Superb analytical background with a solid theoretical foundation coupled with strong programming and documentation skills. Experience with programming languages/statistical software (e.g., R, Python, EViews, Stata) considered a plus
• Extremely focused, detail oriented and highly productive with ability to synthesize large amounts of data and various viewpoints and summarize key concepts
• Excellent organizational and communication (verbal and written) skills
• A proven track record of executing deliverables and meeting deadlines under pressure
• Works well individually and in teams, shares information, supports colleagues, and encourages participation.