There doesn't seem to be much information on this website regarding this niche role so I'd like to just expand on this and hopefully future readers can gain insight on this function.
I interned this past summer in Market Risk at a top BB (GS/MS) and I think the role is great if you want to make a decent living with great hours. As an analyst, I covered two equity trading businesses and you primarily analyze the risks that the traders take in using VaR and stress tests. You'll look at PnL changes day over day as well as your exposure to equity delta risk, interest rate risk, credit risk, etc. There was definitely some interaction with front office Strats as well as other groups within Finance including credit risk, controllers, and corporate treasury. The work is interesting in the fact that you are able to learn a lot about the markets and see the risk side of things that the traders don't see.
Traders usually look at the traditional trading greeks while we looked at VaR and stress tests.
Some of the other interns that worked with me covered other desks like mortgages, interest rate products, credit products, etc. They learned a lot about their own businesses and during the summer a few full time analysts lateraled into S&T.
It actually isn't too quant intensive as I thought it would be. Most of the work is done in Excel and some prop software like secDB. Strats do more of the quant work.
Some parts were definitely boring though. Lots of internal process work for SOX, Volcker, Basel, CCAR, etc and compiling different kinds of risk packages on legal entities to internal risk committees, SEC, and the FRB.
However, a misconception is that it is a supporting role. It is definitely not a supporting role. Market Risk does not support or report to the front office. The Market Risk team reports directly to the CRO of the company. In fact, the group I interned at had our own support teams in the Technology division.
Compensation - in NY base started at 80k + 10k sign on, I'm guessing bonus would be around 15-25k
Hours - 8-8 usually with no weekends. There will be the occasional 10pm night but it is rare.
It gets a lot better when you move up the ladder though. All the VPs and up I worked with left by 5-6 pm.
Sure, compensation flattens out but work life balance gets a lot better and it's not a stressful job at all.
Post any questions you may have and I'll do my best to answer!
