Market Risk Analytics - AVP - NY

  • Competitive
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • Non-disclosed
  • 07 May 18 2018-05-07

You will be responsible for developing market risk and market risk capital models using python and machine learning at this Tier 1.

Tier 1 multinational investment bank is expanding the Market Risk Analytics and Development team in NY. The team is responsible for VaR & Market Risk Capital (IRC, CRM, IDR) development across various asset classes in regards to the FRTB framework. Additionally, they also develop the firm’s risk engines, which are used by teams across model risk.

The role reports to the Director of Market Risk Analytics and is ideal for quantitative individuals with strong technical expertise (NOTE: this is not an IT team/role). The firm is a leader in the machine learning and the cloud computing space so proficiency in Python and related packages (Numpy, Pandas, etc.) is ideal. The team is comprised of specialists and generalists. They are open to considering individuals who are specialized in a particular asset class within risk analytics or those who are more cross-asset.

Responsibilities

  • Design, develop, test, and prototype Value at Risk (VaR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM) models
  • Act as a technical lead on Internal Models Approach
  • Be the liaison for FRTB and coordinate with market risk management for action plans and deliverables
Requirements
  • Graduate or Ph.D. degree in a quantitative discipline (Physics, Mathematics, Engineering, Operational Research, Statistics)
  • Front office or Market risk modeling or market risk capital (VaR, IRC, CRM) development experience
  • Technical ability in machine learning and Python, proficiency in other languages is accepted
  • Understanding of various derivative pricing models and asset classes
  • Knowledge of trade data and risk systems