Quant Analytics Sr Associate - Model Risk
$96,000–$181,000 year
RemoteUnited States or Buffalo, New York, United States
Job Summary
Validate models for Market Risk, IRRBB, and Liquidity while applying machine learning techniques to enhance validation processes and develop advanced use cases like generative AI for scenario simulation. Deliver insightful analysis to address complex business problems and communicate findings effectively by translating complex theories into easy-to-understand language for partners. Incorporate latest market risk trends, including heightened uncertainty around interest rate movements, to ensure models remain aligned with current industry standards and best practices. This role offers exposure to a wide range of market risk pricing, term structure, and hedging models within a supportive, inclusive team environment.
Required Qualifications
- Master's degree in a quantitative discipline
- 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
- Experience with leading quantitative risk systems such as Calypso, RiskWatch, Bloomberg, QRM, and BlackRock
- Experience with cloud infrastructure platforms like GCP
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