Manager, Structural Market Risk
Core
Develops and implements quantitative risk models to measure and manage structural market risk across bank portfolios, focusing on products with embedded optionality.
Role type
Manager, Structural Market Risk (Quantitative Risk Modeler)
Builds
Quantitative risk models, valuation methodologies, and risk management frameworks for fixed income and derivatives.
Domain
Banking / Financial Services / Quantitative Risk Management
Deliverable
production ML models | dashboards & analysis
Required skills
Asset Liability Management (ALM), fixed income valuation, derivatives pricing, stochastic valuation techniques, loan prepayment modeling, behavioral modeling, model testing and validation, regulatory compliance, data integration, Python, SQL, VBA, Excel
Preferred skills
Advanced degree in quantitative disciplines (Math, Physics, Engineering, Statistics, Finance), FRM or CFA designation, AI prompting best practices
Technologies
Python, SQL, VBA, Excel, QRM Asset Liability Management Framework
Responsibilities
Coordinate development and implementation of SMR models; perform back-testing, stress-testing, and benchmarking; develop and validate non-model assumptions; provide strategic input to senior leaders; lead responses to audit and regulatory reviews; design reporting dashboards and analytics; support strategic initiatives and change management.
Seniority
Manager, hands-on IC with strategic advisory
