Market Risk Analytics, VP

About the position We are seeking a Quantitative market risk analytics specialist responsible for developing methodologies and managing analytics for various risk models such as value-at-risk, stress testing, and capital models. The successful candidate will join the Risk Analytics group that partakes in the complete life cycle of model development: from methodology inception and design to local implementation and validation. You will also provide analysis and feedback on changes to or introduction of new models at the firm. More specifically the VP will be responsible for risk analytics initiatives and development pertaining to fixed income 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 • 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 Requirements • Master's degree in a quantitative field preferred • Deep understanding of Value-at-Risk with a focus on fixed income and securitized products • Knowledge of pricing and risk models for financial derivatives • Strong analytical skills required to understand quantitative models • Strong project, management and organizational skills • Strong writing and presentation skills • Proficient programming skills in python and database expertise • Ability to manage and analyze large data sets • Polypaths experience is a good plus Benefits • Generous employee benefits package • Discretionary bonus eligibility Apply tot his job

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