Market Risk, Vice President

About AQR Capital Management

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.

 At AQR, our employees share a common spirit of academic excellence, intellectual honesty and an unwavering commitment to seeking the truth. We’re determined to know what makes financial markets tick – and we’ll ask every question and challenge every assumption.  We recognize and respect the power of collaboration and believe transparency and openness to new ideas leads to innovation.

The Team:

 AQR’s Risk Management team has direct day-to-day responsibility for managing the market, credit, liquidity, model and counterparty risks of firm-managed investments. Within the Risk team, the Market Risk team has direct responsibility for monitoring and managing market and liquidity risk across all asset classes and portfolios managed by the Firm.

The team interacts closely with portfolio managers in setting and monitoring limits, preparing reports, and making risk management recommendations. The team is also responsible for developing and enhancing the firm’s risk methodologies and analytics and works closely with our own technology team to implement these. Methodologies range from risk models, stress tests, scenario analysis, hedging analytics, to event analysis.

The risk team is also critically responsible for producing a wide range of internal, client, and regulatory reports that support all the risk activities of the firm.

Your Role:

Our team is looking for an exceptionally talented Market Risk Vice President.  This role will support all aspects of the Risk Team’s daily market risk activities.  This includes monitoring the firm’s portfolios, running systematic daily risk control processes and helping with risk reporting. The Vice President will also be responsible for investigating risk issues, working with PMs across the firm, and formulating consistent courses of action. The role will include research and development of risk methodologies and conducting quantitative investigations.  

Responsibilities include:

• Bring a common sense and practical approach to all market risk-related issues, as well as an understanding of the firm’s many investment strategies and products
• Monitor investment and market risk across portfolios and asset classes
• Support daily risk review processes, including limits monitoring and related escalation procedure
• Review and record all risk determinations, ensure the timely execution of determinations and document the review process
• Conduct quantitative research to develop and improve risk management methodologies
• Organize, manage, and streamline internal risk reports and support the risk reporting needs of the firm
• Support daily systematic risk control processes; manage exceptions and handle escalations
• Review different types of models used at AQR, including alpha generating, portfolio management and risk models
• Develop strong relationships across the organization to facilitate effective risk management

What You’ll Bring:

• Bachelor’s or Master’s degree in a financial or quantitative field
• Experience working with all primary asset classes (equities, rates, credit, FX and commodities) and strong working knowledge of the economic relationships across asset classes
• Excellent analytical, problem-solving and critical thinking skills
• 5 years of experience in an investment management firm or an investment bank
• In-depth knowledge of financial instruments and risk metrics (e.g., beta, volatility, VaR, option Greeks)
• Ability to iteratively build, prototype and improve methodologies related to market risk
• Prior experience using a high-level programming language (e.g., Python) as a statistical modelling and research tool
• Strong interpersonal communication skills

Who You Are:

• Committed to intellectual integrity, with a high degree of ethics
• Mature and thoughtful, with the ability to operate within a collaborative, team-oriented culture
• 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

The salary range for this role is expected to be $200,000 to $225,000. This is the range that we in good faith believe is accurate for this role at the time of this posting. We may ultimately pay more or less than the posted range, depending upon factors such as skills, experience, location, or other business and organizational needs. This wage range may also be modified in the future.

This job is also eligible for an annual discretionary bonus.

We offer comprehensive package of benefits including paid time off, medical/dental/vision insurance, 401(k), and any other benefits to eligible employees.

Note: No amount of pay is considered to be wages or compensation until such amount is earned, vested, and determinable. The amount and availability of any bonus, commission, benefits, or any other form of compensation and benefits that are allocable to a particular employee remains in the Company's sole discretion unless and until paid and may be modified at the Company’s sole discretion, consistent with the law.

AQR is an Equal Opportunity Employer. EEO/VET/DISABILITY