Quant Analyst - Market and Liquidity Risk
New York, NY
Posted Oct 23, 2023 - Requisition No. 121081
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; and credit 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 Risk Analytics group (“QRA”) is responsible for all credit, market and liquidity risk related modelling. This includes, but is not limited to, the estimation of Probability of Default (PD) and Loss Given Default (LGD) for corporate, municipal and sovereign entities. 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 Quantitative Risk Analytics group has an open position in New York for an experienced Market Risk and/or Liquidity 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 coordinating with team members.
We will trust you to:
- Research, design, prototype, implement, test, document and support statistical/machine-learning and econometric market and liquidity risk models, including regulatory capital calculations such as SIMM and FRTB
- 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, and risk product support unit, and engineers. This includes writing mathematical and technical documentation
- Assist the QRA Team Leader with Market and Liquidity Risk project management. This includes coordination of fellow team members as well as collaboration with Engineering, Product Managers, and Model Validation partners
- Maintain Market and Liquidity risk methodology thought leadership. The Quant Analytics team sometimes publishes research papers in academic and industry journals
You will need to have:
- Ph.D in a quantitative field such as Mathematics, Physics, Engineering, or Quantitative Finance
- A minimum of 7+ years on a market or liquidity risk modeling team of a buy-side or sell-side institution*
- Hands-on experience in market and/or liquidity risk modelling, understanding of risk measures, familiarity with SIMM and FRTB regulations and accounting standards
- Demonstrable knowledge of probability theory, stochastic processes, probabilistic and machine learning techniques, statistical estimation and testing, Monte Carlo methods
- Proven 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 and delivery, team leadership, and communications with internal and external stakeholders and clients
We would love to see:
- Strong oral and written communication skills
- Collaborative mentality and enjoy working in teams with other quants, engineers, and product managers
- Familiarity with object-oriented design patterns and C++ programming
*Please note we use years of experience as a guide, but we will certainly consider applications from all candidates who are able to demonstrate the skills vital for the role.
If this sounds like you, please apply!
We'll get in touch with you to let you know next steps. In the meantime, check out https://www.bloomberg.com/company/what-we-do/
Bloomberg is an equal opportunity employer, and we value diversity at our company. We do not discriminate based on age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.
Bloomberg provides reasonable adjustment/accommodation to qualified individuals with disabilities. Please tell us if you require a reasonable adjustment/accommodation to apply for a job or to perform your job. Examples of reasonable adjustment/accommodation include but are not limited to making a change to the application process or work procedures, providing documents in an alternate format, using a sign language interpreter, or using specialized equipment. If you would prefer to discuss this confidentially, please email AMER_recruit@bloomberg.net (Americas), EMEA_recruit@bloomberg.net (Europe, the Middle East and Africa), or APAC_recruit@bloomberg.net (Asia-Pacific), based on the region you are submitting an application for.
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.
Salary Range: 155,000 - 285,000 USD Annually + Benefits + Bonus