Value at Risk Analyst

Day to Day

We are seeking a seasoned professional to lead data governance efforts for historical market data used in calculating key risk metrics such as VaR and SVaR. The role involves collaborating with risk methodology, business units, and technology teams to enhance risk management capabilities, ensure data integrity, and support model implementation, testing, and validation. The ideal candidate will possess deep expertise in market risk, data infrastructure, and regulatory requirements, with a proven track record in managing large-scale data ecosystems and risk processes.

Key Responsibilities:

• Lead data governance for market risk data, ensuring completeness, accuracy, and consistency across all asset classes.
• Support the design, testing, and rollout of VaR/S-VaR risk models.
• Collaborate with risk methodology, business units, and technology teams to improve risk systems and data flows.
• Oversee the management of historical market risk time series, defining data sources and validation frameworks.
• Monitor and remediate data issues impacting risk measurement and reporting.
• Provide insights and commentary on risk reports, including regulatory disclosures.
• Engage with model developers and risk analysts to enhance data integrity and model accuracy.

Must Haves:

• 7+ years experience in market risk or data management
• Deep understanding of VaR
• “Time Series” experience
• Python experience
• SQL experience
• Any type of Trade or Product experience

Compensation:

$84.51/hr

Benefits:

Benefit packages for this role will start on the 31st day of employment and include medical, dental, and vision insurance, as well as HSA, FSA, and DCFSA account options, and 401k retirement account access with employer matching. Employees in this role are also entitled to paid sick leave and/or other paid time off as provided by applicable law.