Quant Analyst – Market Risk

Bloomberg; New York (NY); On-site; USD 155,000 - 285,000; Full time

Benefits offered by this job

Comprehensive benefits package

401(k) + match

Health, dental, vision insurance

Wellness programs

Job summary

Bloomberg is seeking an experienced Market Risk quantitative analyst in New York to research, prototype, and document models for pricing and risk management across derivatives and cash products. You will collaborate with Model Validation, Engineering, and Product teams to deploy models into production.

The role requires a Ph.D. or equivalent in a quantitative field, 4+ years of market risk modeling experience, and strong C++/Python skills.

Qualifications

• Ph.D. or equivalent in a quantitative field such as Mathematics, Statistics, Physics, Engineering, or Quantitative Finance.
• Work experience at VP level or above (4+ years) on a Market Risk modeling team of buy-side/sell-side or vendor-equivalent.
• Hands-on experience in Market Risk modeling, understanding risk measures, and derivatives across multiple asset classes; knowledge of regulatory and non-regulatory calculations.
• Proficiency in probability theory, stochastic processes, ML techniques, statistical estimation, Monte Carlo methods, numerical analysis, and linear algebra.
• Experience with NLP modelling techniques (Sentiment Analysis, Topic Modeling, Text Classification, Semantic Analysis, NER).
• Proven C++ and Python programming and software engineering skills with production release experience.
• Experience with project management and stakeholder communications.

Responsibilities

• Research, design, prototype, implement, test, document and support Market Risk models.
• Assist integration of quant code into production with Validation and Engineering partners.
• Explain modeling concepts to clients, product managers, sales, risk support, and engineering teams.
• Coordinate team members and support project execution.
• Maintain Market Risk methodology thought leadership and publish research when appropriate.

Skills

Market Risk modeling

C++

Python

Statistics

Machine Learning

NLP techniques

Communication

Education

Ph.D. in quantitative field

Tools

C++ standard library

Python libraries (NumPy/SciPy)

NumPy/Pandas

Job description

Description & Requirements

Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modeling analytics that support client pricing and risk management solutions for financial products across the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, buy- and sell-side enterprise risk management, and derivatives valuation services. These models include those for pricing derivative products across all major asset classes, including market data; counterparty credit, XVA and initial margin; Value-at-Risk and other Market Risk metrics; Credit Risk models, and Climate Risk models. The team has two recent Risk Quant of the Year winners and is dedicated both to novel research as well as efficient model delivery through modern C++ and Python libraries.

Location

New York

Business Area

Product

Ref #

10053364

Description & Requirements

Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modeling analytics that support client pricing and risk management solutions for financial products across the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, buy- and sell-side enterprise risk management, and derivatives valuation services. These models include those for pricing derivative products across all major asset classes, including market data; counterparty credit, XVA and initial margin; Value-at-Risk and other Market Risk metrics; Credit Risk models, and Climate Risk models. The team has two recent Risk Quant of the Year winners and is dedicated both to novel research as well as efficient model delivery through modern C++ and Python libraries.

Within the Quantitative Analytics team, the Quantitative Market and Liquidity Risk Analytics group(“QMLRA”) is responsible for all market and liquidity risk related modeling. This includes, but is not limited to, stress testing, including modelling of various stress scenarios for cash and derivatives portfolios, VaR, stressed VaR and various tail-risk measures, regulatory capital calculations, CCAR scenarios, FRTB, SIMM, and liquidity Assessment. The group is responsible for model research and development, as well as model deployment into production in collaboration with our Model Validation, Engineering, and Product Manager partners.

The QMLRA group has an open position in New York for an experienced Market Risk quantitative analyst to support our growing client business. The candidate will be responsible for researching, and prototyping models, documenting models, planning project execution, and coordination of team members.

We Will Trust You To

• Research, design, prototype, implement, test, document and support statistical, machine-learning, and econometric Market Risk models
• Support the integration and release of quant code into production systems in association with our Model Validation and Engineering partners
• Communicate modeling concepts and assumptions to external clients, product managers, sales, the risk product support unit, and engineering teams. This includes writing technical documentation and delivering presentations to a variety of audiences
• Assist the QMLRA Team Leader with Market Risk project management. This includes coordination of fellow team members as well as collaboration with Engineering, Product Managers, and Model Validation partners
• Maintain Market Risk methodology thought leadership. The Quant Analytics team sometimes publishes research papers in academic and industry journals

You Will Need To Have

• Ph.D. or equivalent experience in a quantitative field such as Mathematics, Statistics, Physics, Engineering, or Quantitative Finance
• Work experience at VP level or above (4+ years) at a Market Risk modeling team of a buy-side or sell-side institution, or at the equivalent level at a vendor
• Hands-on experience in Market Risk modeling, understanding of risk measures, familiarity with financial products and derivatives (expertise needed in at least two asset classes), along with fluency in the relevant regulatory and non-regulatory Market Risk calculations
• Knowledge of probability theory and stochastic processes, probabilistic and machine learning techniques, statistical estimation and testing, Monte Carlo methods, numerical analysis, and linear algebra
• Experience with Natural Language Processing modeling techniques, e.g. Sentiment Analysis, Topic Modeling, Text Classification, Semantic Analysis, and Named Entity Recognition. Proficiency with agentic modeling is a bonus
• Proven C++ and Python programming and software engineering skills. This includes code design, implementation, testing and production release, as well as working knowledge of common data science libraries
• Hands-on experience in project management, execution and delivery, and communications with internal and external stakeholders and clients

We Would Love To See

• Strong oral and written communication skills. You enjoy working in teams with other quants, engineers, and product managers
• Passion about the Capital Markets, Finance, and Economics
• High-level of intellectual curiosity and demonstrated capability to generate new and interesting approaches to solving complex problems

Salary Range = 155,000 - 285,000 USD Annual + Benefits + Bonus

The referenced salary range is based on the Company's good faith belief at the time of posting. Actual compensation may vary based on factors such as geographic location, work experience, market conditions, education/training and skill level.

We offer one of the most comprehensive and generous benefits plans available and offer a range of total rewards that may include merit increases, incentive compensation (exempt roles only), paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) +match, life insurance, and various wellness programs, among others. The Company does not provide benefits directly to contingent workers/contractors and interns.

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