An American Bulge Bracket Investment bank in New York City is seeking to hire an experienced Quantitative Risk individual at the Executive Director level to join its growing model development team.

This individual will be responsible for being involved in the full model development process for risk analytics for all Credit Products within the Portfolio including the development for VaR, stress testing and FRTB. This individual will also work across different business lines of the bank, sharing an important relationship with senior stakeholders across the business.

The firm is ideally targeting candidates with deep knowledge of the model development process particularly in VaR models across the Credit asset class. It is essential for this candidate to have excellent communication skills, and expert level abilities in Python. This individual must have a deep understanding of statistics, and demonstrated ability to work with large data sets.

Responsibilities:

• Build and maintain the model development process for VaR, Stress, and Capital Models covering credit products
• Execute quantitative analysis of portfolio risk exposure
• Work cohesively with senior stakeholders in the firm across different business and functional lines during the process of model development from beginning to end
• Participate in the full life-cycle of the model development process

Qualifications:

• Strong analytical skills involving large data sets, and quantitative models specifically covering credit products and demonstrated ability to apply that knowledge to code development
• Experienced in statistics including machine learning algorithms applied to extreme values
• Expert level skills in Python and other languages
• Knowledge and understanding of the Market Risk Analytics
• Strong communication and presentation skills