Risk Management - Quantitative Associate - Market Risk Model Development
On-site · New York City, New York, United States
Job Summary
Design and implement mathematical models for Value-at-Risk, regulatory capital, and stress testing of Fixed Income portfolios with a focus on Corporate Credit and Securitized Products; devise statistical tests to evaluate model performance and quantify impact of modeling assumptions; interpret regulatory pronouncements into actionable model specifications; coordinate 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; assess model risk issues and devise compensating controls; requires minimum 3 years of experience in quantitative analysis for Fixed Income modeling; strong foundation in statistics and probability; proficiency in Python (pandas, scipy, sklearn, Jupyter); advanced degree preferred.
Required Qualifications
- Minimum 3 years of professional experience as a quantitative analyst in model development, model validation, or quantitative risk management for Fixed Income trading, with a focus on Corporate Credit or 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
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