Quant Analytics Sr Associate - Model Risk

Familiarity with Market Risk, IRRBB, and Liquidity concepts

Familiarity with regulatory requirements such as SR11-07, IRRBB regulations, Market Risk Rule, FRTB, and SIMM

Exposure to market risk pricing models, term structure models, hedging models, asset liability models, deposit pricing and runoff models, or other risk models spanning interest rate derivatives, commodities, FX, CDS, fixed income, and equity

As a Senior Quantitative Analytics Associate, you will be at the forefront of validating models for Market Risk, IRRBB (including NII, EVE, Deposit modeling), and Liquidity.

Your expertise in machine learning will be instrumental in developing advanced use cases such as generative AI for scenario simulation, reinforcement learning for deep hedging, and machine learning techniques for model calibration.

You will also incorporate the latest market risk trends – including heightened uncertainty around interest rate movements and increased market volatility – ensuring our models remain aligned with current industry standards and best practices.

This role offers a fantastic opportunity to learn and grow, gaining exposure to a wide range of market risk pricing models, term structure models, hedging models, and risk models.