Senior Quantitative Risk Modelling Specialist

About the Role
We are seeking a Senior Quantitative Risk Modelling Specialist to join a leading financial services organization. This role focuses on the development, testing, validation, and enhancement of pricing and market risk models used for Fixed Income trading activities, with a particular emphasis on Leveraged Loans. The ideal candidate combines deep quantitative expertise with strong programming skills and extensive experience in market risk modelling within investment banking, capital markets, or financial services environments.

Key Responsibilities
• Develop, enhance, and validate pricing and risk models for Fixed Income trading products.
• Support the modelling and risk assessment of Leveraged Loan portfolios and related credit products.
• Perform model testing, calibration, benchmarking, and performance analysis.
• Analyze and validate one-factor interest rate models, including Hull-White and related frameworks.
• Develop and maintain quantitative testing tools using Python.
• Design and validate Profit & Loss (PnL) Attribution methodologies.
• Review Value at Risk (VaR) models and market risk methodologies using Historical Simulation.
• Conduct sensitivity analysis and evaluate model risk through Greeks and stress testing approaches.
• Prepare model documentation, validation reports, implementation guides, and governance materials.
• Ensure compliance with internal model risk governance frameworks and regulatory expectations, including SR 11-7.
• Collaborate with Front Office, Quantitative Research, Market Risk, and Model Risk Management teams. Mandatory Requirements
• Minimum 7-10 years of experience developing and/or validating Trading Book market risk models.
• Proven experience in pricing and risk modelling of Fixed Income trading products, particularly Leveraged Loans.
• Strong understanding of:
• Model theory and quantitative finance concepts.
• Model calibration techniques.
• One-factor interest rate models.
• Hull-White modelling framework.
• Advanced Python programming skills with hands-on experience testing and validating financial models.
• Experience with Numerix or similar vendor-based quantitative modelling platforms.
• Deep knowledge of:
• Market Risk methodologies.
• Value at Risk (VaR) using Historical Simulation.
• Sensitivity analysis (Greeks).
• Model validation practices.
• Regulatory guidance such as SR 11-7.
• Experience designing and validating PnL Attribution frameworks.
• Strong experience producing technical model documentation and implementation guides.
• Advanced proficiency in Excel, Word, and PowerPoint.
• Excellent written and verbal communication skills.
• Proven ability to work collaboratively and deliver results in complex environments. Education
• Master's Degree or Ph.
D. in:
• Quantitative Finance
• Mathematics
• Statistics
• Physics
• Engineering
• Computer Science
• Finance
• Related quantitative discipline Preferred Background Candidates coming from Investment Banking, Capital Markets, Quantitative Research, Model Validation, Model Risk Management, or Market Risk teams within institutions such as:
• JPMorgan
• Goldman Sachs
• Morgan Stanley
• Citi
• Barclays
• Deutsche Bank
• HSBC
• BNP Paribas
• Société Générale
• Santander CIB
• BBVA CIB Key Skills Fixed Income | Leveraged Loans | Market Risk | Quantitative Modelling | Hull-White | Interest Rate Models | Python | VaR | Historical Simulation | Greeks | Model Validation | PnL Attribution | Numerix | Trading Book | SR 11-7 | Quantitative Finance | Risk Analytics | Model Governance