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Market Risk Quant - VP
Selby Jennings • New York, NY 10261 • Posted 1 day ago via LinkedIn
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In-person • Full-time • Senior Level
Job Highlights
Using AI ⚡ to summarize the original job post
A leading Investment Bank in NYC is seeking a VP level Market Risk Quant specialized in model development to join their Quantitative Market Risk Analytics team. The role involves direct reporting to the Head of Risk Analytics, focusing on the development and methodology of Market Risk Models, particularly in relation to FRTB and other Capital Requirements. This position offers great exposure to senior management and the opportunity to lead a growing team.
Responsibilities
- Build and develop Market Risk Models (VaR, SVaR, RNiV) for the firm's Traded Asset Classes (IR/FX/Credit)
- Assist in the development of various Risk Capital Models for FRTB
- Engage with Risk Managers and FO Quants to understand methodology procedures for Model Development
- Develop new Risk Analytics and tools for Market Risk Managers and Front Office
- Work in the full model development life cycle from methodology to development to implementation
Qualifications
Required
- PhD or Advanced Degree in a Quantitative Function (Statistics, Mathematics, Physics, Quantitative Finance, etc.)
- 5+ Years of experience developing Market Risk models from scratch at an Investment Bank or Consulting Firm
- Working experience on Market Risk Model development
- Working ability in Python, C++, and SQL
About Selby Jennings
Selby Jennings is a global executive search firm specializing in Financial Services recruitment across various sectors like Investment Banking, Fintech, and Risk Management. With nearly 20 years of experience, they offer comprehensive recruitment services and expert guidance on industry trends to help businesses and professionals succeed in the competitive world of finance.
Full Job Description
A leading Investment Bank in NYC is looking to hire a VP level candidate specialized in Market Risk model development to join their Quantitative Market Risk Analytics team.
This hire will report directly to the Head of Risk Analytics and be responsible for the development and methodology of Market Risk Models in relation to FRTB and other Capital Requirements. This individual will join a growing team and have the ability to lead the team from day one. This candidate can have great exposure to senior management senior decision makers in the business as they continue to grow. Candidates will be responsible for hands on model development, and assisting and building VaR models from scratch.
The ideal hire will be coming from a Risk or Quant background with experience in Market Risk Models and Market Risk Analytics. Candidates must be proficient in Python, C++, R, or SQL.
Responsibilities:
- Build and develop Market Risk Models (VaR, SVaR, RNiV) for the firm's Traded Asset Classes (IR/FX/Credit)
- Assist in the development of varous Risk Capital Models for FRTB
- Engage with Risk Managers and FO Quants to understand methodology procedures for Model Development
- Develop new Risk Analytics and tools for Market Risk Managers and Front Office
- Work in the full model development life cycle from methodology to development to implementation
Qualifications:
- PhD or Advanced Degree in a Quantitative Function (Statistics, Mathematics, Physics, Quantitative Finance, etc.)
- 5+ Years of experience developing Market Risk models from scratch at an Investment Bank or Consulting Firm
- Working experience on Market Risk Model development
- Working ability in Python, C++, and SQL
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