Probabilistic Risk Analysis Engineer Jobs in New York

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Job Description
The Senior Market Risk Manager will be responsible for the independent measurement, monitoring, analysis, and oversight of market risk across equity derivatives trading activities. This individual will provide hands-on support for risk identification, risk analytics, model performance monitoring, limit oversight, regulatory reporting, and senior management governance materials. The role requires deep knowledge of equity derivatives products, including listed and OTC equity options, equity swaps, volatility products, convertibles, structured equity products, ETF creation and redemption, ADRs, and related hedging strategies.
The successful candidate must have at least 10 years of relevant financial industry experience in Market Risk Management, quantitative risk analytics, trading risk oversight, or a related capital markets risk function. The candidate must also hold a master's degree in Mathematics, Quantitative Finance, Financial Engineering, Statistics, or a closely related quantitative discipline.
Key Responsibilities

• Provide independent market risk oversight for equity derivatives portfolios, including listed and OTC options, equity swaps, volatility products, convertible securities, structured equity products, ETF creation and redemption, ADRs, and related hedging activity.
• Review daily VaR, Stress VaR, sensitivity, Greeks, P&L, concentration, liquidity, and limit utilization reports to identify material changes in risk profile, strategy, portfolio composition, or market conditions.
• Analyze key equity derivatives risk drivers, including delta, gamma, vega, theta, skew, correlation, dividend risk, funding assumptions, volatility surface behavior, and basis risk.
• Support the design, implementation, testing, validation, and ongoing monitoring of VaR, stress testing, scenario analysis, and other market risk measurement methodologies used for equity derivatives portfolios.
• Perform model monitoring, back-testing, benchmarking, P-value analysis, sensitivity testing, and outcomes analysis to assess model performance and continued suitability for use.
• Partner with Front Office, Quantitative Development, Model Risk Governance, Finance, Technology, Operations, and other control functions to resolve data quality issues, model limitations, valuation concerns, and risk reporting exceptions.
• Prepare and present clear risk commentary, governance materials, committee decks, and escalation summaries for senior management, Market Risk Committee, ALCO, regulators, audit teams, and other oversight stakeholders.
• Support new product reviews, model change assessments, risk methodology enhancements, limit framework updates, and integration of new trading activities into the market risk platform.
• Maintain and enhance market risk procedures, model documentation, control evidence, issue logs, and governance artifacts to support internal audit, external audit, regulatory exams, and model validation reviews.
• Monitor compliance with internal risk appetite, market risk limits, risk indicator limits, Volcker-related controls, and applicable regulatory requirements.

Basic Qualifications
- Bachelor's or advanced degree, or equivalent work experience
- Typically more than 12 years of applicable experience
Preferred Skills/Experience

• 10 or more years of experience in Market Risk Management, trading risk oversight, quantitative risk analytics, model risk, or a related capital markets risk function.
• Hands-on experience supporting or overseeing equity derivatives trading activities, including options, swaps, volatility products, structured notes, convertibles, ETF creation and redemption, ADRs, and related hedging strategies.
• Master's degree required in Mathematics, Quantitative Finance, Financial Engineering, Statistics, Applied Mathematics, or a closely related quantitative field.
• Strong understanding of derivatives valuation, option pricing theory, volatility modeling, Greeks-based risk analysis, scenario analysis, stress testing, VaR, and back-testing concepts.
• Experience working with market risk systems, risk factor data, position data, P&L attribution, independent price verification, model monitoring, and regulatory capital reporting processes.
• Strong analytical, problem-solving, communication, and presentation skills, with the ability to explain complex quantitative concepts to both technical and non-technical stakeholders.
• Proficiency with Excel, VBA, SQL, Python, or similar analytical tools used to analyze risk, automate reporting, validate data, and support risk infrastructure enhancements.

• Experience with MSCI RiskMetrics, Bloomberg, Wall Street Systems (WSS), Fidesa, Calypso, internal market risk platforms, or comparable risk and valuation systems.
• Knowledge of the Market Risk Rule, Basel market risk capital requirements, FRTB concepts, Volcker Rule monitoring, model governance standards, and regulatory expectations for trading risk oversight.
• Experience supporting model validation, internal audit, external audit, regulatory exams, committee reporting, and remediation of risk or control issues.
• Ability to work independently, manage multiple priorities, challenge assumptions constructively, and build effective partnerships across risk, finance, technology, operations, and front-office teams.

This role requires working from a U.S. Bank location three (3) or more days per week.
If there's anything we can do to accommodate a disability during any portion of the application or hiring process, please refer to our disability accommodations for applicants.
Benefits:
Our approach to benefits and total rewards considers our team members' whole selves and what may be needed to thrive in and outside work. That's why our benefits are designed to help you and your family boost your health, protect your financial security and give you peace of mind. Our benefits include the following:

• Healthcare (medical, dental, vision)
• Basic term and optional term life insurance
• Short-term and long-term disability
• Pregnancy disability and parental leave
• 401(k) and employer-funded retirement plan
• Paid vacation (from two to five weeks depending on salary grade and tenure)
• Up to 11 paid holiday opportunities
• Adoption assistance
• Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law

Review our full benefits available by employment status here.
U.S. Bank is an equal opportunity employer. We consider all qualified applicants without regard to race, religion, color, sex, national origin, age, sexual orientation, gender identity, disability or veteran status, and other factors protected under applicable law.
E-Verify
U.S. Bank participates in the U.S. Department of Homeland Security E-Verify program in all facilities located in the United States and certain U.S. territories. The E-Verify program is an Internet-based employment eligibility verification system operated by the U.S. Citizenship and Immigration Services. Learn more about the E-Verify program.
The salary range reflects figures based on the primary location, which is listed first. The actual range for the role may differ based on the location of the role. In addition to salary, U.S. Bank offers a comprehensive benefits package, including incentive and recognition programs, equity stock purchase 401(k) contribution and pension (all benefits are subject to eligibility requirements). Pay Range: $170,255.00 - $200,300.00
U.S. Bank will consider qualified applicants with arrest or conviction records for employment. U.S. Bank conducts background checks consistent with applicable local laws, including the Los Angeles County Fair Chance Ordinance and the California Fair Chance Act as well as the San Francisco Fair Chance Ordinance. U.S. Bank is subject to, and conducts background checks consistent with the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA). In addition, certain positions may also be subject to the requirements of FINRA, NMLS registration, Reg Z, Reg G, OFAC, the NFA, the FCPA, the Bank Secrecy Act, the SAFE Act, and/or federal guidelines applicable to an agreement, such as those related to ethics, safety, or operational procedures.
Applicants must be able to comply with U.S. Bank policies and procedures including the Code of Ethics and Business Conduct and related workplace conduct and safety policies.
Posting may be closed earlier due to high volume of applicants.