Risk Analytics – Fixed Income Market Risk Quantitative Analyst

Location: Midtown NYC (Hybrid – 3 days onsite)
Duration: 6+ months rolling

Seeking an experienced quantitative analyst / risk modeler with 5–8 years of financial industry experience. The focus of this position is on Market Risk modeling for Fixed Income products.

Core Responsibilities:

• Serve as the SME and liaison between front office, technology, and market risk managers to implement and maintain market risk models.
• Make key analytical decisions regarding market risk modeling for Fixed Income positions traded in Europe and Asia.
• Assess the appropriateness of market risk model outputs by performing time series review and stationarity tests, Basel traffic light back testing and VaR breaches analysis, P&L attribution tests, pricing model benchmarking, and quantifying the materiality of any model limitations (e.g., RNIV).
• Document model implementation details, tests, and findings for model validation review, in accordance with the Firm’s Model Risk Management policies and framework.

Qualifications:

• Strong background in market risk models and methodologies (e.g., time series analysis, VaR methodologies, and back testing), with 5–8 years of experience in a quantitative role at a financial institution.
• Good understanding of Fixed Income pricing models and products.
• Strong programming and data handling skills in SQL and Python (ability to manage large datasets, run statistical tests, and analyze test results).
• Excellent communication and presentation skills for clear and effective discussions.
• Strong writing skills for well-structured technical documentation.
• Ability to work independently with minimal supervision.
• Previous experience with regulatory and economic capital models is preferred.
• Familiarity with Numerix and/or Bloomberg is a plus.

Job Type: Contract

Benefits:

• Dental insurance
• Health insurance
• Vision insurance