Risk Quant Job Description Template

The risk quant builds and validates the models used to measure risk across the firm’s positions. The role is more model focused than risk reporting, covering methodology, calibration, backtesting of the risk measures themselves and the documentation that governance requires. It suits people who want to work on the modeling rather than the daily production cycle.

Typical Duties and Responsibilities

• Develop risk models covering market, credit and liquidity risk
• Calibrate models and select appropriate estimation windows and methods
• Backtest risk measures against realized outcomes
• Investigate model failures and propose methodology changes
• Build scenario and stress testing frameworks
• Implement models in production quality code
• Document methodology, assumptions and limitations for review
• Support independent model validation and respond to challenge
• Research improvements from academic and industry literature
• Advise on the appropriate use and misuse of each measure

Education

• Master’s or PhD in mathematics, statistics, physics or financial engineering

Required Skills and Experience

• 3+ years in quantitative risk modeling
• Strong probability, statistics and extreme value theory
• Experience calibrating and backtesting risk models
• Proficiency with Python and production code standards
• Understanding of derivatives risk and non linear exposures
• Rigorous documentation for model governance
• Ability to defend methodology under formal validation
• Clear communication of what a model cannot tell you

Preferred Qualifications

• Experience with regulatory capital models
• Knowledge of C++ for performance critical risk calculations