VP Quantitative Analyst – Market Risk – Model Risk Management


Brief Description:

Our client; a global bank, is seeking a VP level Quantitative Analyst for the Model Risk Management Team with focus on Regulatory & Internal Models within their US Market Risk team. As a key participant in the elaboration of documents to be addressed to the US regulator on technical aspects as well as on broader aspects regarding Model Risk Management he/she will be the entry point in the US on market and counter-party risk models.
You will manage 3 Quantitative Analysts and will report to the head of Market Risk in the Americas and functionally to the global head.

Job Function:

This team will design methodologies for market and counter-party risk regulatory models (VaR, SVaR, IRC, CRM, EEPE, Stressed EEPE, CVA, VaR and SVaR, including backtesting methodologies) as well as counter-party risk economic models (CVaR, Country Risk, etc.). The team reports to the Head of Market Risks in the US and functionally to the Global Head of Regulatory & Internal Models.
The team is responsible for:
• Defining methodologies for regulatory measures (counterparty and market) and economic measures (counterparty),
• Being the key contact for regulatory measures for regulators and within  Group,
• Meeting the regulatory requirements for the subjects related to the market and counter-party RWA,
• Ensuring the RWA adequacy both counter-party and market risks accordingly to business and US priorities.
• Mission details
• This team is responsible of designing methodologies for models in the scope for the whole Bank activities in the US and is the referent for the Risk Department of the Bank on market and counter-party regulatory models towards US Regulatory bodies.
• In cooperation with the global regulatory model team acting as first line of defense for regulatory models (counter-party and market risk) and economic models (counter-party risk).
• Design, in coordination with Market Risk teams and Model Risk Management team at the  Group level as well as other involved departments (such as Front Office and Finance), methodological evolution of the internal models used at US level.
• Ensure that these methodologies are correctly implemented, as a sponsor for Market Risk department.
• Realize controls to ensure the adequacy of internal models at US level: in particular, contribute to the back testing of models.
• Document the different methodologies and model evolution used by the US team, by reusing whenever possible or adapting existing global documentation.
• Present model evolutions impacting the US, back testing results of the US perimeter, etc. during dedicated internal model Committees for the US.  
• Participate to the regulatory watch and ensure the compliance of models with regards to the current US regulatory standards (MRR, regulation Q and SR 11-07).


  • 8+ years in a similar position
  • Experience managing a team
  • Graduated from a top tier school with masters in financial mathematics

Contact Details:

Dan Alzapiedi

914-524-0301 ext 151