Senior Market Risk Quant — Research, Build & Deploy Models

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

Job summary

Bloomberg’s Quantitative Analytics team is seeking an experienced Market Risk quantitative analyst in New York to research, prototype, and implement models for pricing and risk across asset classes. You will collaborate with Model Validation, Engineering and Product partners to deploy production-ready code.

Requirements include a Ph.D. or equivalent in a quantitative field and 4+ years at a market risk team, deep C++ and Python programming, and proficiency with NLP techniques.

Qualifications

• Ph.D. or equivalent in a quantitative field such as Mathematics, Statistics, Physics, Engineering, or Quantitative Finance.
• 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 and familiarity with risk measures and derivatives across at least two asset classes
• Knowledge of probability theory, stochastic processes, ML techniques, 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, Named Entity Recognition)
• Proven C++ and Python programming and software engineering skills; production release experience
• Hands-on experience in project management and stakeholder communications

Responsibilities

• Research, design, prototype, implement, test, document and support Market Risk models
• Support the integration and release of quant code into production systems with Validation and Engineering
• Communicate modeling concepts to clients, product managers, sales, risk support, and engineering; write docs and give presentations
• Assist Team Leader with Market Risk project management and coordination with colleagues
• Maintain Market Risk methodology thought leadership; occasionally publish research papers

Skills

Market Risk modelling

C++ programming

Python programming

NLP techniques

Project management

Communication skills

Education

Ph.D. or equivalent in quantitative field

Tools

C++

Python

Job description

Bloomberg’s Quantitative Analytics team is seeking an experienced Market Risk quantitative analyst in New York to research, prototype, and implement models for pricing and risk across asset classes. You will collaborate with Model Validation, Engineering and Product partners to deploy production-ready code.

Requirements include a Ph.D. or equivalent in a quantitative field and 4+ years at a market risk team, deep C++ and Python programming, and proficiency with NLP techniques.