BNY Mellon is a global investments company dedicated to helping its clients manage and service their financial assets throughout the investment lifecycle. Whether providing financial services for institutions, corporations or individual investors, BNY Mellon delivers informed investment and wealth management and investment services in 35 countries. As of March 31, 2021, BNY Mellon had $41.7 trillion in assets under custody and/or administration, and $2.2 trillion in assets under management. BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK). Additional information is available on www.bnymellon.com. Follow us on Twitter @BNYMellon or visit our newsroom at www.bnymellon.com/newsroom for the latest company news. The quantitative model developer role is in the counterparty credit risk (CCR) modelling and analytics team within R&C model development group at BNY Mellon. The candidate is responsible for the counterparty credit risk modelling for assets of all types, and in particular, for FX and interest rate derivatives. The candidate is also extensively involved in the firm’s CCAR modelling and annual reporting process for the FX and Derivatives portfolio, and well as the ongoing model performance monitoring. Additionally, the candidate is responsible supporting the live trading quotes while helping the desk managing the counterparty credit risks. In summary, the candidate is expected to be fully participating in the team’s challenging efforts for both tactical and long-term strategic counterparty credit risk model development and enhancement, model weakness remediation, ongoing performance monitoring, and to align the firm’s counterparty credit risk models with the ongoing market/regulation development and help with the company business expansion. This role requires regular (written and verbal) interactions with credit risk managers, Model Risk Management, technology, operations, and audit staff. 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 Python is desired and knowledges in interest rate derivatives and Fixed Income products, up-to-date regulatory and market development, as well as counterparty credit risks are preferred. Qualifications The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills. 0-2 years of experience. Must have experience with complex quantitative modeling, numerical analysis, and computational methods using programming languages (such as C/C++, C#, Java, FORTRAN, MATLAB, SAS) as well as mathematical/statistical software packages. Must be extremely focused, detail oriented, results oriented and highly productive. Must have a proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time. The candidate must have excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language. BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer. Minorities/Females/Individuals With Disabilities/Protected Veterans. Our ambition is to build the best global team – one that is representative and inclusive of the diverse talent, clients and communities we work with and serve – and to empower our team to do their best work. We support wellbeing and a balanced life, and offer a range of family-friendly, inclusive employment policies and employee forums. Primary Location: United States-New York-New York Internal Jobcode: 85357 Job: Risk Organization: Risk-HR06016 Requisition Number: 2116465