Risk Analytics – Fixed Income Market Risk Quantitative Analyst

Location: Midtown NYC(Hybrid – 3 days onsite)

Duration: 6+ monthsrolling 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. Strong market risk model and methodologies 5–8 years of experience in a quantitative role Understanding of Fixed Income pricing models and products Strong skills in SQL and Python Familiarity with Numerix and/or Bloomberg