A Global Investment bank is seeking to hire an experienced Quantitative Risk individual at the VP level to join a brand new Risk Analytics team in their New York office.
This individual will be responsible for being involved in the full model development process for risk analytics for Equities, Fixed Income, Derivatives, and other products including the development for VaR, stress testing and Capital Models. This individual will also work across different business lines of the bank, sharing an important relationship with senior stakeholders across the business.
The firm is ideally targeting candidates with deep knowledge of the model development process particularly in VaR models across different asset classes. It is essential for this candidate to have excellent communication skills, and expert level abilities in Python. This individual must have a deep understanding of statistics, and demonstrated ability to work with large data sets.
- Build and maintain the model development process for VaR, Stress, and Capital Models regarding Equities, Fixed Income, and other products
- Develop and test risk analytics for Fixed Income and Equity models, including enhancing the current infrastructure to create new risk analytics models to monitor performance
- Execute quantitative analysis of portfolio risk exposure
- Work cohesively with senior stakeholders in the firm across different business and functional lines during the process of model development from beginning to end
- Participate in the full life-cycle of the model development process from methodology to design to validation
- Strong analytical skills involving large data sets, and quantitative models specifically covering Equities, Fixed Income, and other products and demonstrated ability to apply that knowledge to code development
- Experienced in statistics including machine learning algorithms applied to extreme values
- Expert level skills in Python and other languages
- Knowledge and understanding of the derivative market mainly for equities and fixed income
- Strong communication and presentation skills