Risk Analytics – Fixed Income Market Risk Quantitative Analyst
Job in
New York, New York County, New York, 10261, USA
Listed on 2026-10-07
Listing for:
Yablon & Associates LLC
Full Time
position Listed on 2026-10-07
Job specializations:
-
Finance & Banking
Financial Advisor / Consultant, Banking Analyst, Data Scientist
Job Description & How to Apply Below
NYC, New York
Location:Midtown NYC (Hybrid – 3 days onsite)
Duration:6+ months rolling
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 methodologies5–8 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
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