Quant Analytics Sr Associate - Model Risk

KeyBank • Cleveland, OH

9d • $96,000 - $181,000

About The Position

As a Senior Quantitative Analytics Associate, you will validate models for Market Risk, IRRBB (including NII, EVE, and deposit modeling), Liquidity, and other risk areas. You will apply machine learning to support and enhance model validation, including advanced potential applications such as generative AI for scenario simulation, reinforcement learning for deep hedging, and machine learning techniques for model calibration. The role also involves incorporating current market risk trends, including heightened uncertainty around interest rate movements and increased market volatility, so models align with industry standards and best practices. It offers exposure to market risk pricing, term structure, hedging, and risk models.

Requirements

• Master’s degree in a quantitative discipline.
• At least 2 years of relevant experience.
• Familiarity with Market Risk, IRRBB, and Liquidity concepts.
• Familiarity with regulatory requirements such as SR11-07, IRRBB regulations, the Market Risk Rule, FRTB, and SIMM.
• Exposure to market risk pricing models, term structure models, hedging models, asset liability models, deposit pricing and runoff models, or other risk models spanning interest rate derivatives, commodities, FX, CDS, fixed income, and equity.
• Experience with leading quantitative risk systems such as Calypso, RiskWatch, Bloomberg, QRM, and BlackRock, as well as cloud infrastructure platforms such as GCP.

Responsibilities

• Validate models for Market Risk, IRRBB, Liquidity, and other risk areas.
• Apply machine learning techniques to enhance and support model validation processes.
• Deliver insightful analysis to address complex business problems.
• Communicate findings effectively to partners, translating complex theories into easy-to-understand language.
• Incorporate current market risk trends and industry standards into model validation.

Benefits

• Eligible for incentive compensation, which may include production, commission, and/or discretionary incentives.
• Eligible for benefits; the posting refers applicants to a separate benefits list.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level