Risk Management - Market Risk Model Development - Quantitative Analytics - Vice President

Job Responsibilities

• Apply statistical analysis to historical market data to specify and implement mathematical models for Value-at-Risk, regulatory capital, and stress testing of Fixed Income portfolios, with a focus on Securitized products and Credit Trading.
• Devise statistical tests to evaluate model performance and quantify the impact of alternative modeling assumptions.
• Interpret regulatory pronouncements and translate them into actionable model specifications.
• Cook up model implementation with Front Office model developers and Technology partners.
• Explain model behavior to Risk managers, Trading desk personnel, and Regulators.
• Establish comprehensive model documentation and liaise with Model Risk Governance and Review for model validation.
• Avoid model risk issues associated with valuation and risk models, and devise compensating controls when necessary.

Required Qualifications, Capabilities, And Skills

• 5+ years of experience as a quantitative analyst or quantitative risk manager, ideally with experience developing or validating models used for valuation or risk management of Fixed Income portfolios.
• Bachelor of Science degree in Engineering, Mathematics, Physics, Finance/Economics, Computer Science or a related field.
• Wide knowledge of Fixed income products, particularly Securitized products.
• Strong foundation in probability theory, time series analysis, and statistics as applied to financial modeling.
• Proficiency in computer programming, with experience handling large datasets and using Python tools such as pandas, scipy, sklearn, and Jupyter.
• Excellent verbal and written communication skills, with the ability to present complex concepts to both technical and non-technical audiences.

Preferred Qualifications, Capabilities, And Skills

• Advanced degree (PhD or Masters) in Engineering, Mathematics, Physics, Finance, Computer Science, or a related field.
• Demonstrated curiosity about finance and a research-oriented mindset.
• Experience consulting academic literature to solve practical modeling challenges.
• Enthusiasm for sharing knowledge and collaborating within a team environment.