Market Risk Quantitative Research [Multiple Positions Available]
Tasks
- Backtest VaR against profit and loss
- Compute Incremental VaR aggregation
- Coordinate with model risk review and governance teams
- Develop Expected Shortfall models
- Develop market risk VaR models
- Document and justify modeling choices
- Enhance market risk models for derivatives and fixed income
- Ensure model compliance with governance and audit requirements
- Execute VaR model performance testing
- Implement historical and Monte Carlo simulation models
- Maintain and advance market risk model and data infrastructure
- Maintain time series market risk data
- Perform data extraction and processing
- Perform sensitivity analysis and validation
- Provide quantitative insights to risk stakeholders
- Run scenario analysis for pricing model changes
- Source and process risk data from portfolio systems
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
APIs | Backtesting | Data Processing | Data extraction | Excel | Expected shortfall | FRTB | Greeks | Historical Simulation | Incremental VaR | Monte Carlo | Monte Carlo Simulation | NumPy | Pandas | Python | Risk Factor Aggregation | Scenario Analysis | SciPy | Tableau | VAR | Value-at-Risk
Regions
Countries
States
Cities
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