• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Selby Jennings QRF
  • 09 Apr 18

VP Market Risk Analytics & Development

  • Location: New York, NY, USA
  • Salary: Competitive
  • Job Type: Full time

Investment bank is expanding the Market Risk Development team in NY. They are responsible for VaR & Market Risk Capital (IRC, CRM) development for the FRTB framework in regards to credit trading. Additionally, they also develop the firm’s risk engines.

Premier multinational investment bank is expanding the Market Risk Analytics and Development team in NY. They are responsible for VaR & Market Risk Capital (IRC, CRM) development for the FRTB framework in regards to credit trading. 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 individuals who are strong both quantitatively and technically. 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.

Responsibilities
  • Design, develop, test, and prototype Value at Risk (VaR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM) models
  • Develop the coding behind the firm’s risk engines (Python is ideal)
  • 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 credit and equity derivatives and products
  • Knowledge of trade data and risk systems
New York, NY, USA New York NY US