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Market Risk Analytics & Development, VP

  • Job type: Permanent
  • Location: New York
  • Salary: Competitive
  • Job reference: mklc22593
  • Sector: Banking and Finance, Technology, Selby Jennings, Development , Quantitative Finance, Risk Management
  • Date posted: 21/02/2018
OVERVIEW

Leading global investment bank is growing its award-winning Market Risk Modeling team that is responsible for best-in-class market risk models and risk engine development for the firm. This all-star group, led by a former front office quant with a Ph.D. and Ivy League pedigree, is one of the most well-respected teams in the industry.

The function of this role is highly quantitative and technical.  It will take advantage of your skill set in the stochastic process as well as your technical ability in Python and machine learning. As a member of this esteemed group, you will gain exposure to some of the leading technology and premier data platforms in the industry, further develop your technical ability in Python and machine learning, as well as become an expert in Market Risk Modeling and development. You will be responsible for developing VaR models, IRC models, and CRM models that feed directly into the firm’s Market Risk capital calculations.

The role will report to the regional Head of Market Risk Analytics.  This is a VP level individual contributor position based in New York. You will be expected to mentor junior analysts on the team and set the tone from the top regarding direction, ability, and character.

THE ROLE
  • Design, prototype, and develop best in class Market Risk Models including VaR, IRC, CRM models  
  • Further improve, augment, and implement the firm’s risk engines (which calculate risk measures across a wide range of product types; includes an integrated stress testing framework)
  • Ongoing monitoring and evaluation of market risk models including backtesting
  • Act as a senior liaison to the Market Risk Model Validation team regarding key deliverables and inquiries
WHAT YOU OFFER
  • Graduate or Post-Doctoral Degree in a quantitative or STEM discipline (Math, Physics, Engineering, etc.)
  • Proven track record in Front Office development, market risk modeling, or market risk model validation
  • At least 5+ years of industry experience with a graduate degree or 3+ years with a Post-Doctoral degree
  • Demonstrable knowledge of VaR models and the stochastic process
  • Strong technical ability in Python with knowledge and experience in machine learning
  • Desire to further your career at one the foremost Risk Modeling teams in the industry 
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