First, the first post someone makes here should not be to ask for help, and second this post should be in the Careers forum.  So, probably everyone now hates you.  And since I'm going to provide an answer, they will hate me also.  And just to make it worse, I will not do separate paragraphs.  If I can infer your current job, when you say market risk that usually means just interest rate risk.  If the main point of your current job is VAR for interest rate risk, I think doing that is limiting and not particularly interesting.  There is, however, an increase in demand for these sorts of things given the recent financial history and legislative interest.  So, its probably safe but boring.  The second job, to me, sounds much more interesting.  You would get involved in a much wider range of securities and exposures and models and a wider range of professional contacts.  The career progression is fuzzy because you would need to know more about the perception there of that position.  There is also a question of if you can do that job.  In my opinion, success in that kind of modeling would need an expanded skillset that includes knowledge of economics, financial analysis of firms, credit and equity risk models and their relationship, and more.  Do you know now or want to learn factor models and cash flow mapping and such?  Also, as to whether you can do the job goes to the resources.  Sometimes various company issues can severely impact the availability of data and appropriate software to be able to do your job.  The last point you mention is that it seems more about understanding risk than monitoring, which I see as a good sign that it is to make money and not to produce PowerPoint presentations.