Senior MD, Market Risk Modeling & Analytics

Selby Jennings; Chicago (IL); On-site; USD 250,000 - 400,000; Full time

Job summary

Selby Jennings invites applications for a Managing Director to lead the Market Risk Modeling group in Chicago. The role focuses on developing, governing, and enhancing models used for regulatory capital, risk measurement, and quantitative analytics across a complex global markets environment.

Ideal candidates bring advanced degrees in quantitative disciplines, 10+ years in market risk, and strong Python skills, with experience in regulatory capital frameworks and model governance.

Qualifications

• Master's or PhD in Financial Engineering, Mathematics, Statistics, Physics, Computer Science, Economics, or a related quantitative discipline.
• 10+ years of experience in Market Risk Modeling, Quantitative Research, Quantitative Finance, Model Development, or a related quantitative function.
• Strong understanding of Value-at-Risk (VaR), market risk methodologies, statistical analysis, and regulatory capital frameworks.
• Experience developing or reviewing models related to market risk, regulatory capital, derivatives valuation, scenario analysis, or stress testing.
• Advanced programming experience in Python, with exposure to additional programming languages or quantitative tools considered a plus.

Responsibilities

• Lead the development, implementation, and enhancement of market risk models supporting regulatory capital calculations and enterprise risk management.
• Perform quantitative analysis for model development, benchmarking, backtesting, and ongoing model performance monitoring.
• Analyze market data, risk metrics, P&L time series, and model parameters to identify trends, weaknesses, and enhancement opportunities.
• Partner closely with Risk Management, Technology, Model Validation, Capital, and Compliance teams to support model governance and regulatory requirements.
• Prepare technical documentation, regulatory submissions, and evidence packages for internal audits, model reviews, and regulatory examinations.
• Investigate model performance exceptions, explain results to stakeholders, and support remediation of validation, audit, and regulatory findings.
• Provide guidance and leadership on quantitative methodologies, model risk management practices, and strategic model initiatives.

Skills

Market risk modeling

Quantitative analysis

Derivatives pricing

Regulatory capital knowledge

Communication

Leadership

Education

Master's or PhD in Financial Engineering/Math/Stats/Physics/CS/Economics

Tools

Python

R

Job description

Selby Jennings invites applications for a Managing Director to lead the Market Risk Modeling group in Chicago. The role focuses on developing, governing, and enhancing models used for regulatory capital, risk measurement, and quantitative analytics across a complex global markets environment.

Ideal candidates bring advanced degrees in quantitative disciplines, 10+ years in market risk, and strong Python skills, with experience in regulatory capital frameworks and model governance.