Director, Market Risk Quant

The FISER Group

Job Description

A leading global financial institution is expanding its Market Risk Quantitative Analytics team in Chicago and is seeking a Director-level Market Risk Quant to contribute to a series of strategic, high-impact initiatives spanning FRTB, VaR, stress testing, regulatory capital and next-generation risk technology.

Role based in Chicago. 3 days per week in office (4 days pw for the first 6 months)

Key responsibilities

Develop, enhance and implement market risk models across VaR, FRTB, stress testing and regulatory capital.
Lead complex quantitative analytics projects, including model performance monitoring, backtesting, benchmarking and sensitivity analysis.
Support model submissions, technical documentation, regulatory engagement and remediation of model issues.
Conduct statistical analysis of market data, risk factors and P&L time series to assess model performance and identify potential weaknesses.
Partner with Front Office, Market Risk, Model Risk Management, Technology and other risk analytics teams to deliver model enhancements and production implementations.
Contribute to strategic initiatives focused on FRTB implementation, risk analytics modernisation and next-generation modelling technology.

Skills & experience

5–10+ years of experience in market risk, quantitative risk modelling or a closely related discipline.
Strong expertise in VaR, market risk measurement and statistical modelling.
Experience with FRTB, ideally across the Internal Models Approach (IMA) and/or Standardised Approach (SA).
Strong understanding of derivatives pricing and quantitative modelling; interest rate and commodities experience is advantageous.
Advanced Python or equivalent quantitative programming skills, with experience translating models into production-ready solutions.
Experience with model submissions, regulatory requirements, backtesting and model performance remediation.
Excellent analytical, communication, stakeholder management and problem-solving skills.

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Vacancy posted 17 days ago

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