Risk · Director
Quantitative Risk, Balance-Sheet Volatility
Based in New York. See the notes below for how much time on site the role expects.
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Posted 2026-08-09. We take a posting down the day the role is filled.
Leverage is a design problem. You will quantify the paths that threaten the firm and the paths that merely hurt.
The work
- Build scenario engines: severe drawdowns, liquidity gaps, coupon coverage, and covenant stress.
- Advise on leverage policy, issuance capacity, and reserve buffers.
- Produce the risk pack for the board — one narrative, many paths.
- Stress-test hedging overlays and any active capital management the CFO proposes.
- Never let a pretty backtest become a policy.
What you have already done
- 6+ years market risk, ALM, or portfolio risk with production models.
- Python, and enough stochastic calculus to know when to stop using it.
- Experience explaining tail risk to non-quants.
- FRM or equivalent a plus.
Fit
- You run the severe case first.
- You believe volatility is a cost to manage, not a reason to panic.
- You would rather spoil the party than explain the bankruptcy.
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