Equity Market Risk Quantitative Analyst – Risk Analytics

Our client, a global investment bank, is seeking an experienced Equity Market Risk Quantitative Analyst (Risk Analytics). You will play a key part in the development, enhancement, and validation of market risk models, with a primary focus on Equity Derivatives products.

Location: Midtown, NYC – hybrid 3 days onsite
Duration: 6+ months

• The Equity Market Risk Quantitative Analyst is responsible for:
• • Lead the implementation and maintenance of market risk models, with a focus on Equity Derivatives positions traded across Europe and Asia
  • Make critical analytical decisions related to model design, methodology, and applicability for various equity derivative products.
  • Prepare detailed documentation of model implementation, testing results, and findings by the firm’s Model Risk Management policies and regulatory framework
  • Support internal and external model validation and audit reviews, ensuring transparency and compliance throughout the model lifecycle.
  • Assess the appropriateness and accuracy of market risk model outputs by performing:
  • • Time series reviews and stationarity tests
    • Basel traffic light backtesting and explanation of VaR breaches
    • P&L attribution testing
    • Pricing model benchmarking
    • Quantification of materiality for model limitations (e.g., Risks Not In VaR (RNIV))

• 5–8 years of experience in a quantitative role within a financial institution, with a strong focus on market risk models and methodologies (e.g., time series analysis, Value-at-Risk (VaR) methodologies, and backtesting)
• Solid understanding of equity pricing models and a broad range of equity derivative products
• Advanced programming and data analysis skills in SQL and Python
• Prior experience working with regulatory capital models (e.g., Basel frameworks) and economic capital models is preferred
• Familiarity with Numerix and/or Bloomberg is a plus