Quants Analyst

Description

Quants Analyst

New York, United States of America

WHAT YOU WILL BE DOING

Model Development and Model Risk Management:

• Develop and enhance existing FO models.
• Cover all stages of model development including, selection and of applicable data, model theory, implementation, and ongoing monitoring.
• Produce SR 11-7 compliant documentation on models covering new and existing products.
• Guarantee that the Front Office models comply with the requirements in the US MRM policy.
• Implement in production environment all models proposed, improved and developed by the US Risk Methodology Group.
• Produce User Acceptance Tests for new models deployed by internal developers or vendors.
• Develop specifications for enhancement for internal and external developers in accordance with Market Risk’s and Front Office\ needs and priorities.

Support the trading desk with any technical or Murex related requests:

• Develop pricing and discounting curve building tools to be used in conjunction with valuation models.
• These curves should consider collateralization as well as other recent market trends.
• Produce Booking procedures for products approved for trading in US Santander business operating entities.
• Interact with global Murex support to system issues.
• Collaborate in the testing of Murex version upgrades and Flex model version updates with testing.
• Work in coordination with global FO quants team in the implementation of new initiatives that relate to FO office models.
• Provide support to the trading desks on the corporate pricing and valuation tools including those used for Initial Margin and XVA calculations.
• Train FO employees in the use of these tools.

Regulatory projects:

• Act as a central point of contact for any Front Office model related requests from US or European regulators.
• Actively participate in regulatory exams.
• Coordinate and execute projects that pertain to Model Control for Market Risk, including the market risk model control program.
• Produce Market Risk Model Control reporting and presentations for SHUSA and affiliates risk committees.

Diversity & EEO Statements: At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams. We actively encourage everyone to apply.

Santander is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, genetics, disability, age, veteran status or any other characteristic protected by law.

Working Conditions: Frequent Minimal physical effort such as sitting, standing and walking. Occasional moving and lifting equipment and furniture is required to support onsite and offsite meeting setup and teardown. Physically capable of lifting up to fifty pounds, able to bend, kneel, climb ladders.

Employer Rights: Employer Rights: This job description does not list all of the job duties of the job. You may be asked by your supervisors or managers to perform other duties. You may be evaluated in part based upon your performance of the tasks listed in this job description. The employer has the right to revise this job description at any time. This job description is not a contract for employment and either you or the employer may terminate at any time for any reason.

For NYC Job Applicants: The base annual salary range for this position is $165,000-$215,000. The exact compensation may vary based on skills, experience, training, licensure and certifications and location.

Masters of Science (MS) English

Primary Location: New York, NY, Madison Ave Corp

Other Locations: New York-New York

Organization: Banco Santander S.A.