Job description
Job Description:
Senior Manager – Loan Trading Market Risk Model
Location: New York, NY (Hybrid work flexibility)
Position Summary:
We are seeking a highly skilled and experienced Senior Manager to join our Market Risk Modeling team, focused on loan trading and fixed income products, particularly leveraged loans. This role will play a critical part in developing, enhancing, and validating pricing and risk models, ensuring compliance with regulatory standards, and supporting trading and risk management activities with robust modeling solutions.
Key Responsibilities:
- Lead the development, testing, and validation of pricing and market risk models for leveraged loans and other fixed income trading products.
- Apply advanced modeling techniques, including one-factor interest rate models (e.g., Hull-White), for accurate pricing and scenario analysis.
- Develop and maintain Profit and Loss (PnL) attribution frameworks, ensuring alignment with risk factors and trading desk expectations.
- Collaborate closely with risk management, model validation, front office, and quantitative research teams to ensure consistency and accuracy of model outputs.
- Conduct model sensitivity analysis (Greeks), Value at Risk (VaR) using historical simulation methods, and contribute to comprehensive model validation in accordance with SR 11-7 and other regulatory standards.
- Document model assumptions, calibration methods, implementation logic, and validation test results in line with internal and external audit expectations.
- Utilize Python and Numerix (or equivalent modeling platforms) for model development and backtesting.
- Prepare and deliver technical presentations and documentation for internal governance committees and regulatory reviews.
- Contribute to the ongoing improvement of the firm’s model risk management framework and practices.
Required Qualifications:
- 7–10 years of hands-on experience in developing and/or validating market risk models for trading book products, with a strong focus on leveraged loans.
- Proven expertise in pricing models, interest rate modeling, and PnL attribution techniques.
- In-depth knowledge of market risk metrics, including VaR, Greeks, and scenario analysis.
- Experience with Numerix or similar vendor-based quantitative libraries and modeling environments.
- Strong proficiency in Python for financial model development and testing.
- Advanced user of Excel, Word, and PowerPoint.
- Outstanding written and verbal communication skills with the ability to explain complex concepts to both technical and non-technical stakeholders.
- A collaborative mindset with a demonstrated ability to take initiative and deliver under pressure.
Education:
Master’s or Ph.D. in a quantitative field such as Finance, Engineering, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance
