Our client, a leading Investment Bank located in New York, NY is looking for a Quantitative Analyst to join their growing Model Risk Management team. This person will focus on both market and credit risk models across asset classes. The client is looking for candidates who have worked with different types of Market and Credit Risk models, not just one specific subset. This individual will be analyzing the conceptual soundness of risk models and engines, assessing model behavior and its suitability to particular products as well as the appropriateness of the model’s output risk sensitivities.
The initial focus of this position is on VaR and CCR modeling for securitized products, FI, FX, equity and credit products, and consists of the following core responsibilities:
- Analyzing the conceptual soundness of risk models and engines
- Assessing model behavior and its suitability to particular products/structures
- Assessing appropriateness of the model’s output risk sensitivities
- Quantifying the materiality of suggested model improvements
- Liaising with front office quants, traders, risk and finance professionals and provide guidance on model risk
- Cogently reviewing analysis findings resulting in model approval or disapproval