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Market Risk Quantitative Specialist

2 months ago

Chicago, Illinois, United States TEKsystems Full time
Position Overview

This role presents a remarkable opportunity for a Market Risk Quantitative Specialist within the Global Risk Analytics (GRA) division at TEKsystems. GRA operates as a vital segment of Global Risk Management (GRM), focusing on the creation of a unified and systematic suite of models and analytical tools essential for proficient risk and capital assessment, management, and reporting.

Key Responsibilities

The successful candidate will engage in the development of advanced market risk models critical for regulatory compliance. Responsibilities include:
  • Crafting a quantitative library for market risk, implementing elements of Value at Risk (VaR) and Fundamental Review of the Trading Book (FRTB) models.
  • Overseeing the development, validation, documentation, and upkeep of market risk models.
  • Providing support for the market risk platform, addressing model-related system challenges, and offering quantitative assistance to model users.
  • Conducting independent quantitative analytics and modeling initiatives.
  • Creating new models and analytical processes to enhance existing systems.
  • Engaging with regulatory bodies to effectively communicate model efficacy and participating in industry discussions to influence policy decisions regarding Internal Models Approach (IMA) models.
  • Documenting all activities and collaborating with technology teams to design systems for model execution.
  • Exhibiting exceptional quantitative and analytical skills, alongside a comprehensive understanding of financial markets and products.

Role Expectations

The candidate will play a pivotal role in the design and implementation of the VaR framework and FRTB requirements, ensuring alignment with both internal and regulatory standards. Specific tasks include:
  • Researching, enhancing, and maintaining risk models; developing proprietary software for quantitative analysis.
  • Working with existing market risk models to identify and implement necessary enhancements.
  • Developing methodologies and detailed specifications for various workstreams related to FRTB implementation.
  • Defining market data modeling requirements to meet BCBS FRTB guidelines.
  • Coordinating technical discussions with Front Office Quants and other functions to support the core methodology.
  • Ensuring that models and methodologies are designed in an integrated manner to support a comprehensive revaluation infrastructure.
  • Understanding how FRTB requirements may vary across jurisdictions, particularly in the US and UK.
  • Specializing in market risk modeling across multiple asset classes while contributing to strategic initiatives.
  • Collaborating with various teams to implement necessary requirements and coordinating model development documentation submissions.

Qualifications

To be considered for this role, candidates should possess:
  • A Master's degree or PhD in Mathematics, Statistics, Physics, or a related field, along with a minimum of 2 years of relevant experience.
  • Experience with risk or pricing models across various financial products.
  • A solid understanding of regulatory capital frameworks and stress testing requirements.
  • Proficiency in programming languages such as Python, C++, or SQL to develop efficient and reusable code.
  • Strong analytical skills and a proactive approach to problem-solving.
  • Excellent communication and interpersonal skills, with the ability to build relationships across diverse teams.
  • Effective time management skills and the ability to multitask.

Preferred Experience

Experience with IBOR transition or FRTB is advantageous.