[Remote] Sr. Model Risk Analyst, IR & FX Derivatives

Note: The job is a remote job and is open to candidates in USA. First Citizens Bank is seeking a Sr. Model Risk Analyst for their Derivatives Team, which focuses on derivatives valuation and market risk models. The role involves implementing model risk management policies, conducting risk analysis, and developing effective partnerships with various stakeholders. Responsibilities • Conducts risk analysis to validate the performance of existing models and leads gap closing projects to include recommended model changes • 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 • Develops and maintains effective partnerships with the model analysts, model owners, business level risk management teams and auditors, internal and external • 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 Skills • Bachelor's Degree and 6 years of experience in OR High School Diploma or GED and 10 years of experience in model risk management • 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 Benefits • 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. Company Overview • First Citizens Bank provides banking services, essential business and professional services, wealth management capabilities, and more. It was founded in 1898, and is headquartered in Raleigh, North Carolina, USA, with a workforce of 10001+ employees. Its website is Company H1B Sponsorship • First Citizens Bank has a track record of offering H1B sponsorships, with 126 in 2025, 115 in 2024, 249 in 2023, 53 in 2022, 12 in 2021, 9 in 2020. Please note that this does not guarantee sponsorship for this specific role. Apply tot his job