Model Risk VP at AQR Capital Management in Greenwich, Connecticut

Posted in Other 3 days ago.

Job Description:

Model Risk Vice President

AQR is a global investment firm built at the intersection of financial theory and practical application. We strive to deliver concrete, long-term results by looking past market noise to identify and isolate the factors that matter most, and by developing ideas that stand up to rigorous testing. By putting theory into practice, we have become a leader in alternative strategies and an innovator in traditional portfolio management since 1998.

AQR takes a systematic, research-driven approach, applying quantitative tools to process fundamental information and manage risk. Our clients include institutional investors, such as pension funds, insurance companies, endowments, foundations and sovereign wealth funds, as well as financial advisors.

About The Team

AQR's Risk Management team has direct responsibility for monitoring and managing market, credit, liquidity, model and funding risk exposures of firm-managed investments, providing reports and other tools to the Principals, portfolio managers and traders, setting and managing limits and approving all new or changed strategies, models and accounts. Firm Risk Management works with the Risk Committee to oversee the design and production of risk reports, and to analyze risk issues and partners with other departments to encourage best practices in risk management. The department has direct authority to order position reductions and trade hedges, and it manages the cash investments for all accounts. The team is responsible for model validation, stress testing, scenario analysis and contingency planning.

Your Role

Our team is looking for an exceptionally talented Model Risk Professional. Reporting directly to the Head of the Model Risk Group and a member of the overall Risk team, the successful candidate will take a lead role in the Model Risk function including:

  • Assess, design and implement governance and conduct independent model validation of existing models used at AQR

  • Develop a thorough understanding of the different types of models AQR utilizes: including but not limited to alpha generating, portfolio management, trading & risk models

  • Understand the different inputs to these models, how they are computed and expected to perform and react under different conditions

  • Have an intuition for potential pitfalls and issues / risks of using different models; thorough understanding of particular model limitations

  • Assess the ongoing appropriateness of our models in the context of the latest market developments, industry trends, and internal strategic objectives

  • Develop and maintain a centralized command and control over models; this includes maintaining an inventory and risk ranking of all investment models

  • Support documentation and monitoring of policies and procedures for model development, validation, change control

  • Take ownership of model validation and manage the development and ongoing maintenance acting as the go - to subject matter expert

  • Participate as needed in other projects linked to implementation of model risk management framework (e.g. process enhancement, tool development

What You'll Bring

  • Masters or Ph.D. in Finance, Operations Research, Math, Statistics, Econometrics or Financial Eng.

  • 5+ years of experience building and using investment models; validation experience preferred (esp. with investment models), but not required

  • Experience working with all primary asset classes (equities, rates, credit, FX and commodities) and strong working knowledge of the economic relationships across asset classes

  • A strong personality with the ability to maintain a healthy skepticism when interacting with specialized experts

  • Ability to iteratively build, prototype and improve methodologies related to model validation

  • A strong technical risk proficiency afforded by a career track record of accomplishments within investment management

  • Programming experience, with demonstrated exposure to multiple languages such as Python, C++, SQL, Matlab

  • Analytical and numerate with strong conceptual and practical problem solving and project management skills; someone who can thoroughly grasp complex situations, cut through to the key elements without getting lost in the detail, and deliver

  • Able to work well as an advisor to others who have deep industry experience

Who You Are

  • Committed to intellectual curiosity and integrity, with a high degree of ethics

  • Mature and thoughtful, with the ability to operate within a collaborative, team - oriented culture as well as operate independently

  • Hard working and eager to learn in a highly intellectual, innovative environment

  • Well - organized, detail - oriented; able to multi - task and keep track of various deadlines

  • Look beyond the surface level to understand the underlying details

  • Confident, self-starting, entrepreneurial, creative, with a pragmatic, results-driven orientation

  • Excellent communicator (verbal and written). Able to communicate complex ideas in a simple, succinct and understandable fashion

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