Director of Quantitative Market/Credit Risk Analytics

3 weeks ago


New York, United States Employvision Inc. Full time

3 days in the NYC office and 2 days WFH

Location: NY 10020

Fulltime role

Summary

The Director of Quantitative Market Risk Analytics is responsible for overseeing and involved in developing methodologies and managing analytics for risk models including value-at-risk, stress, and capital models. The Director will be senior individual and manager in the Risk Analytics group that partakes in model development over the full life cycle of modes: from methodology to design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm. More specifically the Director will be key in leading and overseeing all risk analytics initiatives and development relating to a wide spectrum of businesses, including Interest Rates, FX, Equities, XVA, Banking, and Securitized Products.

Responsibilities

  • Develop, test, implement and document risk analytics for new products.
  • Lead the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance.
  • Perform quantitative research to implement model changes, enhancements and remediation plans.
  • Work with stakeholders across business and functional teams during model development process.
  • Create tools and dashboards which can enhance and improve the risk analysis.
  • Conduct analysis on existing model short-comings and design remediation plans.
  • Maintain, update, improve and back-test risk models.
  • Analysis and governance of historical time series data
  • Develop Market Risk Analytics platform.
  • Identify risk not captured by analytics, develop and implement methodology to quantify the materiality, and design strategic plan to better integrate and manage such risk.
  • Support discussion with regulators as a subject matter expert.

Qualifications

  • 10+ years of experience in quantitative modeling for market risk
  • Master’s Degree in a quantitative field preferred
  • Strong Management Skills – management of team
  • Deep understanding of Value-at-Risk and counterparty exposure models preferred.
  • Experience with pricing and risk models for financial derivatives.
  • Strong analytical skills required to understand quantitative models.
  • Strong knowledge and understanding of the derivative markets mainly for fixed income, equity and credit.
  • Strong project, management and organizational skills.
  • Strong writing and presentation skills.
  • Proficient programming skills in python and database expertise
  • Experience with time series techniques and governance.
  • Ability to communicate effectively with managers that may not have quantitative backgrounds.



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