AVP-VP of Market Risk, VaR Modelling – New York, NY
Tier 1 Investment Bank – Market Risk Management – AVP-VP Market Risk – Value-at-Risk Modelling – Manhattan, NY
SALARY RANGE OR SPECIFIED NUMBER + BONUS
Up to $220,000 USD base (DOE) + highly competitive bonus
As a growing team that plans to double in size in the next year, we are looking for a AVP-VP level Market Risk candidate who has a background with Credit Derivatives experience. This role will not only consist of hands on VaR modelling experience but the incumbent should have a Ph.D. from a top-tier university.
Build VaR models- front line of defense for credit derivatives desk
Implement products using pricing engines and models.
Day to day support to the Structured Credit Trading Desk
Build and validate existing & new complex pricing models across the market risk, specifically VaR Modelling
Knowledge of pricing models for CDO's, CLO tranches, Structured Credit Products, etc.
Rebuilding models from scratch, testing, replicating and challenging their performance.
Interaction with regulators both internally and externally
1-5 years relevant financial experience
Knowledge of credit derivatives
Professional programming background in C++, Python
A Ph.D. with a strong quantitative related subject.
Excellent communication skills in order to express complicated methodologies and theories.
In return they are offering:
Huge opportunity to attain full training, hands on exposure within the quant analytics space.
An opportunity to work in the quant space with a tier-1 investment bank
The intellectual stimulation and challenge of working within growing, cutting edge & globally delivering analytics group.
Have daily interaction with the business and be a key part of their unrivalled success, whilst enhance one's own diversity of credentials and have the chance to work with an elite and prestigious group.