Quant Analyst - Market Risk
Bloomberg
IT
New York, NY, USA
Posted on Jun 30, 2025
Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modelling 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 Market and Liquidity Risk Analytics group (“QMLRA”) is responsible for all market and liquidity risk related modelling. This includes, but is not limited to, stress testing - including modelling of various stress scenarios for cash and derivatives portfolios, VaR, stressed VaR and various tail-risk measures, regulatory capital calculations, CCAR scenarios, FRTB, SIMM and liquidity Assessment. 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 QMLRA group has an open position in New York for an experienced Market 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 coordination of team members.
You will need to have:
We would love to see:
We will trust you to:
- Research, design, prototype, implement, test, document and support statistical/machine-learning and econometric Market Risk models.
- Support the integration and release of quant code into production systems in association with our Model Validation and Engineering partners.
- Communicate modelling 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 QMLRA Team Leader with Market Risk project management. This includes coordination of fellow team members as well as collaboration with Engineering, Product Managers, and Model Validation partners.
- Maintain Market 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.
- Work experience at VP level or above (4+ years) at a Market Risk modelling team of a buy-side or sell-side institution, or at the equivalent level at a vendor.
- Hands-on experience in Market Risk modeling, understanding of risk measures, familiarity with financial products and derivatives and the relevant regulatory and non-regulatory Market Risk calculations.
- Solid knowledge of probability theory and stochastic processes, probabilistic and machine learning techniques, statistical estimation and testing, Monte Carlo methods.
- Proven C++ and 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, execution and delivery, and communications with internal and external stakeholders and clients.
We would love to see:
- Very good oral and written communication skills. You enjoy working in teams with other quants, engineers, and product managers.