Risk Analytics – Fixed Income Market Risk Quantitative Analyst

Yablon & Associates LLC; New York (NY); Hybrid; USD 120,000 - 180,000; Full time

Job summary

Yablon & Associates LLC in New York is seeking an experienced quantitative analyst / risk modeler specializing in Market Risk modeling for Fixed Income products. The role is Hybrid – 3 days onsite in Midtown NYC and offers a six+ month rolling engagement.

The candidate will serve as SME between front office, technology, and market risk managers, performing time series tests, VaR analysis, and model validation in line with Firm policies. Strong SQL and Python skills are required.

Qualifications

• 5–8 years of experience in a quantitative role at a financial institution.
• Strong background in market risk models and time series analysis.
• Proficiency in SQL and Python for large data handling.
• Familiarity with Fixed Income pricing models.

Responsibilities

• Serve as SME between front office, technology, and market risk managers to implement 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 VaR breaches analysis, P&L attribution tests, pricing model benchmarking, and quantifying model limitations.
• Document model implementation details, tests, and findings for model validation review, in accordance with the Firm’s Model Risk Management policies.

Skills

Market Risk Modeling

Time Series Analysis

VaR Methodologies

SQL

Python

Fixed Income

Numerix

Bloomberg

Tools

Numerix

Bloomberg

Job description

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 Incomeproducts.

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 forFixed Incomepositions 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 ofFixed Incomepricing 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 roleUnderstanding of Fixed Income pricing models and productsStrong skills in SQL and PythonFamiliarity with Numerix and/or Bloomberg