Quantitative market risk analytics specialist responsible for developing methodologies and managing analytics for risk models including value-at-risk, stress, and capital models. Candidate will join the Risk Analytics group that partakes in model development over the full life-cycle of modes: from methodology to design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm. More specifically the Associate will support risk analytics initiatives and development relating to a wide spectrum of businesses, including Interest Rates, FX, Equities, XVA, Banking, and Securitized Products.
Execute functional testing to verify correct implementation of risk models, including replication and benchmarking
Develop, test, implement and document risk analytics for new products
Support the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance
Perform quantitative research to implement model changes, enhancements and remediation plans
Work with stakeholders across business and functional teams during model development process
Create tools and dashboards which can enhance and improve the risk analysis.
Conduct analysis on existing model short-comings and design remediation plans
Maintain, update, improve and back-test risk models
Analysis of historical time series data
Identify risk not captured by analytics, develop and implement methodology to quantify the materiality, and design strategic plan to better integrate and manage such risk
Masters Degree in a quantitative field preferred
Understanding of Value-at-Risk and counterparty exposure models preferred
Knowledge of pricing and risk models for financial derivatives
Strong analytical skills required to understand quantitative models
Strong project, management and organizational skills
Strong writing and presentation skills
Proficient programming skills in python and database expertise
Ability to manage and analyze large data sets
The expected base salary ranges from $80,000 - $120,000. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications and licenses obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.