Vice President, Risk/ Policy Management
Core
Develop, implement, and maintain quantitative market risk models to measure and monitor the Firm's exposure to Equity and related asset classes.
Role type
Senior quantitative market risk modeler
Builds
Production quantitative risk models (VaR, FRTB, stress testing)
Domain
Financial services / Market Risk
Deliverable
production ML models
Required skills
Quantitative finance (derivative pricing), Probability and statistics, Stochastic processes, Equity markets, Regulatory frameworks (Basel, FRTB), Time series analysis, Python (production code), Market risk modeling (VaR, ES, RNIV), SQL, Data validation
Preferred skills
N/A
Technologies
Python, SQL
Responsibilities
Develop and maintain analytical tools and automated workflows in a production environment; Perform quantitative analysis, backtesting, and sensitivity analysis; Design and execute model testing plans for large scale strategic model developments; Collaborate with Front Office, Risk Management, and Technology teams.
Seniority
Senior, hands-on IC