Risk Analyst

Risk Analyst

Job Duties: The Risk Analyst (multiple openings) at MPG Operations LLC in New York, NY will engineer and enhance mathematical tools and models to manage risks across derivative positions in an equity portfolio. Test and validate volatility models for pricing exotic derivative products with quant development teams. Run historical statistical simulations of profit and loss (“P&L”), variance swaps hedged with vanilla calls and puts, and variance swaps hedged with VIX futures/options. Work on prototyping profit and loss explanation drivers using Greeks. Monitor risk drivers across the portfolio under coverage responsibility and communicate with management when these risks grow beyond the established tolerance. Meet and communicate with traders on a regular basis, evaluating trade ideas to understand the rationale, making risk-reward assessments, and developing risk management strategies. Analyze sample portfolios of new Portfolio Manager candidates to help ensure that their trading practices align with our Firm’s robust risk management framework. Develop stress-testing methods utilizing the value at risk (VaR) probability-based risk assessment technique, including Monte Carlo simulations, historical simulations, and parametric VaR. Run approved stress test simulations, including spot-volatility matrices to identify hidden vulnerabilities in a portfolio. Analyze the values of Greeks to assess risk characteristics of derivative positions. Engineer risk limits tailored to internal trading strategies. Salary: $160,000 – $250,000 per year.

Minimum Requirements: Requires a Master's degree in Financial Engineering, Statistics, Mathematics, or a related quantitative field, and 1 year in a professional quantitative analyst, or related, occupation in the financial or investment industry. Must include 1 year with each of the following: (1) Equity Derivatives; (2) Non-Linear Risks, including Gamma, Vega, Correlation, and Skew; (3) Derivative Pricing Models, including Black Scholes Model, Local Volatility Model, and Monte Carlo Simulation; (4) Stress Testing and Value-at-Risk calculation; (5) Python Programming; and, (6) Excel for handling datasets.

Millennium's ongoing employee referral program does apply to this position. Details of the program may be located on the company intranet home page, click Resource Library > HR Resources > Talent Acquisition > Employee Referral Program. Alternatively, you may navigate to the webpage directly using this URL:

To apply please send resume to and reference job code "0343" when applying.

This notice is being posted in connection with and as a result of the filing of an application for permanent alien labor certification for the above-described job opportunity. Any person may provide documentary evidence bearing on the application, with information on available workers or information on wages and working conditions, to a Certifying Officer of the U.S. Department of Labor, whose address is as follows: U.S. Department of Labor, Employment & Training Administration, Office of Foreign Labor Certification, 200 Constitution Avenue NW, Room N-5311, Washington, DC 20210.

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