Director Quantitative Risk (Fixed Income) – Jersey City

• Being a member of the Quantitative Risk Management Team (QRM), the Quantitative Risk Director will be responsible for the development and support of models and methodologies for the quantification of risk.
• QRM also carries out quantitative analysis and other analytical support to firms’ risk management and other business needs.

RESPONSIBILITIES:

• Be the leading subject expert of fixed income risk model and methodology.
• Conduct quantitative research/analysis related to fixed income model development, maintenance, and performance monitoring.
• Conduct quantitative risk analysis to support other business units and the regulatory supervisors.
• Build and maintain model prototypes for model development.
• Facilitate model risk management activities.
• Facilitate model specification and model engine test with Risk Technology team.
• Mitigates risk by following established procedures, spotting key errors and demonstrating strong ethical behavior.

QUALIFICATIONS:

• Master’s degree in the quantitative discipline is required; Ph. D is preferred.
• Minimum of 10 years of experience in fixed income and/or market risk modeling.
• Strong knowledge in fixed income securities, including Treasury, Agency, and Mortgage securities.
• Extensive experience in fixed income model development and model performance monitoring.
• Meaningful prior experience in interest rate modeling.
• Prior risk analytics experience in fixed income a big plus.
• Hands-on programming (in SQL in particular and other high level programming language such as Python) skills.
• Extensive experience collaborating with cross functional teams such as model validation, IT development, and risk managers.
• Strong written and verbal communication skills and extensive experience working with regulatory authorities.