VP - Market Risk Modeling VP - Market Risk Modeling …

Selby Jennings Buyside
in Manhattan, NY, United States
Permanent, Full time
Last application, 25 Nov 21
Negotiable
Selby Jennings Buyside
in Manhattan, NY, United States
Permanent, Full time
Last application, 25 Nov 21
Negotiable
Selby Jennings Buyside
A top bulge-bracket investment bank is looking to hire a Vice President of Market Risk Analytics to report directly to the Head of Market Risk Analytics. The Market Risk Analytics team is accountable for developing, maintaining, and monitoring market risk and stress-testing models for the bank's portfolio of assets.

A top bulge-bracket investment bank is looking to hire a Vice President of Market Risk Analytics to report directly to the Head of Market Risk Analytics. The Market Risk Analytics team is accountable for developing, maintaining, and monitoring market risk and stress-testing models for the bank's portfolio of assets. The bank is currently growing significantly across their quantitative teams, and is specifically looking for an experienced candidate who will be able to mentor and guide the junior-level modelers in the group.

The bank is ideally looking for a candidate with 8+ years of experience, strong modeling skills in Python or C++, deep knowledge of fixed income products (credit derivatives, securitized credit, etc.), and the ability to develop and maintain relationships internally.

Responsibilities:

  • Operate as the team lead and assist in the development and implementation of VaR and stressed VaR models for bonds, credit derivatives, and securitized credit.
  • Act as the lead SME on market risk modeling matters, internal code development projects, for the fixed income group.
  • Represent the team in committee meetings and presentations to senior management
  • Work on enhancing functional form methodology of risk factor scenario generation
  • Assist in the development of securities lending counterparty PFE simulations for fixed income products

Qualifications:

  • M.S. or Ph.D. in a quantitative field such as mathematics, physics, engineering, statistics, etc.
  • Experience in derivatives/traded asset pricing and risk simulation modeling
  • Strong Python coding skills
  • Excellent written and verbal skills
  • Ability to be a thought leader on model and process design
  • Ability to drive projects forward

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