Sr. Model Risk Analyst, IR & FX Derivatives

This is a remote role that may be hired in several markets across the United States.

This position supports the implementation and execution of Bank wide model risk management policies and procedures, including model governance and performance monitoring, in conformance with regulatory guidance. Reviews complex models used within the organization, model documentation protocols, development and maintenance of model risk reporting and maintenance of the model inventory. Assesses model risks and limitations, makes recommendations, follows up and tracks ongoing model risk issues

The team is expanding and there are multiple newly created positions. This position is specifically for the Derivatives Team, which covers the following modeling efforts:

• derivatives valuation, including risk-neutral and adjustments such as for counterparty credit risk, and Greeks,
• supporting market risk models such as value-at-risk and expected shortfall, and counterparty-credit risk capital models such as potential future exposures,
• and interest-rate curve building.

• Analysis - Conducts risk analysis to validate the performance of existing models and leads gap closing projects to include recommended model changes. Provides independent review of model validations, effectively assessing the validity of issues raised and methodological approaches for the proper resolution of these issues.
• Reporting - Reports regularly to the Model Risk Manager on the compliance of the model risk management program, including policies and procedures, with respect to its progress, working issues, and challenges.
• Relationship Development - Develops and maintains effective partnerships with the model analysts, model owners, business level risk management teams and auditors, internal and external.
• Business Support - Provides recommendations for the design, development, back testing, implementation and recalibration of models owned by the model development team. Assists in the review and validation of model performance and controls, including establishing the model validation scope, assessment of validation results and directing communication with stakeholders. Assists in the development and maintenance of the model inventory ensuring the inventory is complete, accurate, and consistent with the intent of the Model Validation Policy.

Bachelor's Degree and 6 years of experience in OR High School Diploma or GED and 10 years of experience in model risk management.

Preferred Qualifications

Master's (MSc) or doctoral (PhD) degree in mathematics, physics, or engineering. Required quantitative skills include probability theory and stochastic processes, stochastic differential equations (SDE), partial differential equations (PDE), numerical analysis, and optimization theory.

Strong grasp of the conceptual foundations of derivatives modeling (swaps and options, IR and FX) and counterparty credit risk modeling (PFE and CVA).

Significant hands-on coding experience (C++, Python, Java) with an emphasis on financial modeling and numerical optimization. Familiarity with QuantLib and Open-Source Risk Engine (ORE) is a plus.

Experience with vendor systems such as Murex, Chatham, Numerix, and Riskmetrics is a plus.

The ideal candidate will have solid communication skills, with a penchant for technical exposition and documentation.

This job posting is expected to remain active for 45 days from the initial posting date listed above. If it is necessary to extend this deadline, the posting will remain active as appropriate. Job postings may come down early due to business need or a high volume of applicants.

The base pay for this position is generally between $135,000.00 and $185,000.00. Actual starting base pay will be determined based on skills, experience, location, and other non-discriminatory factors permitted by law. For some roles, total compensation may also include variable incentives, bonuses, benefits, and/or other awards as outlined in the offer of employment.

Benefits are an integral part of total rewards and First Citizens Bank is committed to providing a competitive, thoughtfully designed and quality benefits program to meet the needs of our associates. More information can be found at https://jobs.firstcitizens.com/benefits.