JobsUSAVP of Market Risk Management - Selby Jennings
Company : Selby Jennings
Location : Manhattan, NY
Posted Date : 15 September 2025
Job Details
A leading Investment Bank in NYC is looking to hire a VP level candidate specialized in Market Risk model development to join their Quantitative Market Risk Analytics team.
This hire will report directly to the Head of Risk Analytics and be responsible for the development and methodology of Market Risk Models in relation to FRTB and other Capital Requirements. This individual will join a growing team and have the ability to lead the team from day one. This candidate can have great exposure to senior management senior decision makers in the business as they continue to grow. Candidates will be responsible for hands on model development, and assisting and building VaR models from scratch.
The ideal hire will be coming from a Risk or Quant background with experience in Market Risk Models and Market Risk Analytics. Candidates must be proficient in Python, C++, R, or SQL.
Responsibilities:
- Build and develop Market Risk Models (VaR, SVaR, RNiV) for the firm's Traded Asset Classes (IR/FX/Credit)
- Assist in the development of varous Risk Capital Models for FRTB
- Engage with Risk Managers and FO Quants to understand methodology procedures for Model Development
- Develop new Risk Analytics and tools for Market Risk Managers and Front Office
- Work in the full model development life cycle from methodology to development to implementation
Qualifications:
- PhD or Advanced Degree in a Quantitative Function (Statistics, Mathematics, Physics, Quantitative Finance, etc.)
- 5+ Years of experience developing Market Risk models from scratch at an Investment Bank or Consulting Firm
- Working experience on Market Risk Model development
- Working ability in Python, C++, and SQL
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