Key Responsibilities

• Develop, validate, and enhance the firm's market risk models, with a primary focus on VaR methodologies (e.g., Historical Simulation, Monte Carlo). Ensure models are robust, accurate, and fit for purpose.
• Conduct daily monitoring and analysis of the firm's market risk exposures across various trading desks and asset classes. Analyze risk sensitivities (Greeks), VaR, and other risk metrics to identify and escalate potential risks.
• Design, implement, and maintain a comprehensive stress testing framework. Develop and run historical and hypothetical scenarios to assess the portfolio's resilience to extreme market events.
• Produce and present detailed risk reports to senior management, the risk committee, and trading desks. Clearly articulate complex quantitative concepts and the results of risk analysis to a variety of audiences.
• Maintain and enhance the market risk limit framework, ensuring that limits are appropriate for the firm's risk appetite and are effectively monitored.
• Work closely with traders to understand their strategies and risk profiles. Partner with quantitative analysts to ensure consistency between front-office pricing models and risk models.
• Contribute to the continuous improvement of the market risk infrastructure, including risk systems, data management, and analytical tools.

Qualifications and Experience

• A Master's degree or PhD in a highly quantitative field such as Mathematics, Physics, Engineering, Computer Science, or Quantitative Finance is required.
• A minimum of 5-10 years of experience in a quantitative market risk, model validation, or front-office quantitative role within a trading environment (e.g., investment bank, hedge fund, or commodity trading house).
• Strong programming skills are essential (e.g., Python, R, C++, MATLAB). Experience with SQL and database management is also required.
• Deep understanding of stochastic calculus, statistical analysis, time series analysis, and numerical methods.
• Expert-level knowledge of financial derivatives across one or more asset classes (e.g., equities, fixed income, FX, commodities), including their pricing and risk characteristics.
• Proven, hands-on experience with the theory and implementation of VaR models, stress testing, and other advanced risk measurement techniques.
• Professional certifications such as the Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) are highly desirable.