Risk Management - Quantitative Associate - Market Risk Model Development
New York, NY, United States
USD 161K-190K (estimate) Mid-level Full Time
Tasks
- Assess model risk issues
- Conduct stress testing for fixed income portfolios
- Coordinate model implementation with front office developers
- Coordinate model implementation with technology partners
- Create model documentation
- Design market risk models
- Develop statistical tests for model performance
- Devise compensating controls for model risk
- Evaluate alternative modeling assumptions
- Explain model behavior to regulators
- Explain model behavior to risk managers
- Explain model behavior to trading desk personnel
- Implement Value at Risk models
- Implement regulatory capital models
- Liaise with model risk governance for model validation
- Perform statistical analysis on historical market data
- Translate regulatory pronouncements into model specifications
Perks/Benefits
- Backup childcare
- Financial coaching
- Health care coverage
- Mental health support
- On-site health and wellness centers
- Retirement savings plan
- Tuition reimbursement
Skills/Tech-stack
Jupyter | Model Validation | Pandas | Probability theory | Python | Regulatory Capital | SciPy | Scikit-learn | Series analysis | Statistics | Stress Testing | Time Series | Time Series Analysis | Value-at-Risk
Education
Roles
Regions
Countries
States
Cities
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