Quant Analytics Sr Associate - Model Risk

Location: 127 Public Square, Cleveland, Ohio

About the role

As a Senior Quantitative Analytics Associate, you will be at the forefront of validating models for Market Risk, IRRBB (including NII, EVE, Deposit modeling), and Liquidity. Your expertise in machine learning will be instrumental in developing advanced use cases such as generative AI for scenario simulation, reinforcement learning for deep hedging, and machine learning techniques for model calibration. You will also incorporate the latest market risk trends – including heightened uncertainty around interest rate movements and increased market volatility – ensuring our models remain aligned with current industry standards and best practices. This role offers a fantastic opportunity to learn and grow, gaining exposure to a wide range of market risk pricing models, term structure models, hedging models, and risk models.

Responsibilities

• Validate models for Market Risk, IRRBB, Liquidity, and other risk areas
• Apply machine learning techniques to enhance and support model validation processes
• Deliver insightful analysis to address complex business problems
• Communicate findings effectively to partners, translating complex theories into easy-to-understand language

Requirements

• Master’s degree in a quantitative discipline with 2+ years of relevant experience
• Familiarity with Market Risk, IRRBB, and Liquidity concepts
• Familiarity with regulatory requirements such as SR11-07, IRRBB regulations, Market Risk Rule, FRTB, and SIMM
• Exposure to market risk pricing models, term structure models, hedging models, asset liability models, deposit pricing and runoff models, or other risk models spanning interest rate derivatives, commodities, FX, CDS, fixed income, and equity

Skills

Experience with leading quantitative risk systems such as Calypso, RiskWatch, Bloomberg, QRM, and BlackRock, as well as cloud infrastructure platforms like GCP.

Pay

This position is eligible to earn a base salary in the range of $96,000.00 - $181,000.00 annually. Placement within the pay range may differ based upon various factors, including but not limited to skills, experience, and geographic location. Compensation for this role also includes eligibility for incentive compensation which may include production, commission, and/or discretionary incentives.

Benefits

Please click here for a list of benefits for which this position is eligible.