A top American Investment in the New York area is hiring a VP-level candidate to join a new team within their internal Front Office quant group to focus on market risk model development in assistance of assessing the capital for the business and traders on a daily basis. This hire will roll up to the Head of this FO Group and have high visibility to the MD Global Head. This team build-out comes from the top-down, as the Head of Markets is invested in building out this Front Office Risk group as a strategic way to use capital and risk metrics for the overall benefit of the traders.
This hire will focus on the development of market risk models (VaR, FRTB, etc.) from an end-to-end and hands-on perspective across all asset classes, offering to chance to grow within different product areas. Additionally, the candidate will be tasked with building analytical tools for the use of the business and traders to assess market risk and capital metrics in order to develop efficient hedging strategies for the firm's portfolio's. Along with partnering with the business and other Front Office quant teams to drive enhancement, this hire will be expected to drive projects forward independently.
The firm is ideally looking for candidates with at least 4+ years of experience developing market risk models (VaR, FRTB), a solid understanding of all risk metrics and analysis, and someone with the motivation and drive to take initiative and independently drive projects forward for this growing team.
Responsibilities:
- Develop market risk models (VaR, FRTB, etc) from scratch across all asset classes
- Build analytical tools for the use of the business and traders to assess market risk and capital metrics in order to develop efficient hedging strategies for the firm's portfolios
- Partner with the business and other Front Office quant teams to drive projects and enhancement
- Providing desk support for the traders on capital assessment
Qualifications:
- 4+ years of experience developing market risk models (VaR, FRTB, etc.)
- Strong expertise in Python
- Understanding of all risk metrics and analysis
- Ability to independently drive forward projects and enhancement
- Excellent communication skills and the ability to interact effectively in a business-facing position