BNY Mellon—Vice President, Model Development

Job description

Description: We are seeking a Quantitative Developer to join the development team within risk modelling group. This role is critical to the delivery of strategic risk architecture initiatives, including the development and enhancement of risk analytics platform for Counterparty Potential Future Exposure (CPFE) and Trading Book Value at Risk (VaR). Successful candidate will contribute to the design and implementation of core components of the new risk stack, which underpins the CPFE framework and other risk engines used in the broader VaR architecture. This is a hands-on role at the intersection of quantitative development, derivatives pricing, and production-grade software engineering. It is well suited to someone who combines strong coding ability with a solid understanding of fixed income and derivatives valuation, and who is motivated by building robust, scalable analytics used directly in production. In this role, you’ll make an impact in the following ways: - Design, develop, and enhance in-house pricing and risk analytics software for fixed income securities and derivatives - Contribute to the build-out core components of the CPFE framework. - Support development of orchestrator for handling pricing requests across multiple risk engines - Re-engineer and improve end-to-end data pipelines for market data, trade data, and stress scenarios - Implement and maintain analytics for mark-to-market, net present value, price under shocks, and sensitivities - Enhance pricing models for complex products, including callable bonds, convertible bonds, and other structured fixed income instruments - Ensure software is robust, maintainable, safe, and performant for direct production use - Write high-quality code in Python and C++, following sound engineering and testing practices - Participate in code reviews, automated testing, and CI/CD processes - Use deterministic tooling and engineering controls to maintain code quality and reliability - Collaborate closely with quantitative analysts, model developers, risk managers, and technology partners across the wider risk architecture programme. To be successful in this role, we’re seeking the following: - Strong experience in Python software development, C++ is a plus - Experience developing quantitative analytics or pricing libraries for financial products - Good understanding of fixed income and derivatives pricing - Experience implementing or supporting valuation and risk measures such as NPV, mark-to-market, sensitivities, or stress pricing - Familiarity with production-quality software engineering practices, including testing, version control, and maintainable code design - Ability to work effectively in a hands-on development environment with a strong focus on numerical correctness, robustness, and performance - Strong problem-solving skills and ability to work across both quantitative and engineering domains