Director, Market Risk Quant — Stress Testing & Analytics

Selby Jennings; Missouri; On-site; USD 180,000 - 260,000; Full time

Job summary

Selby Jennings is seeking a Director for Market Risk Quantitative Analytics in Chicago to drive model development, enhancement, and implementation across regulatory capital and risk measurement. You will engage senior stakeholders across Risk, Capital, Tech, and Front Office, influencing critical regulatory initiatives.

The role requires broad expertise in VaR, FRTB, CCAR, ES, and governance, with advanced Python and strong knowledge of derivatives pricing across asset classes.

Qualifications

• Master's degree or PhD in a quantitative field (e.g., Financial Engineering, Math, Physics or Statistics).
• 7+ years in Market Risk Modeling, Quantitative Finance, or related field.
• Strong VaR, Stressed VaR, Expected Shortfall knowledge and regulatory capital frameworks.
• Advanced Python programming; experience with risk models and large-scale implementation.
• Excellent communication skills for senior stakeholders and regulators.

Responsibilities

• Lead development of market risk and stress testing models for regulatory capital.
• Perform quantitative analysis for model development, scenario design and benchmarking.
• Develop methodologies for VaR, Stressed VaR, FRTB, CCAR and ES.
• Design and analyze stress testing scenarios; interpret results for governance.
• Collaborate with Risk, Capital, Front Office, Tech and Model Validation teams.
• Prepare technical docs, regulatory submissions, and audit materials.
• Identify model weaknesses and drive remediation through analysis and testing.

Skills

Python

Quantitative analysis

Risk modeling

Communication

Leadership

Education

Master's degree or PhD in a quantitative field

Tools

SQL

Mathematical modeling

Job description

Selby Jennings is seeking a Director for Market Risk Quantitative Analytics in Chicago to drive model development, enhancement, and implementation across regulatory capital and risk measurement. You will engage senior stakeholders across Risk, Capital, Tech, and Front Office, influencing critical regulatory initiatives.

The role requires broad expertise in VaR, FRTB, CCAR, ES, and governance, with advanced Python and strong knowledge of derivatives pricing across asset classes.