ABOUT THE JOB: Market Risk performs oversight of the Fixed Income, Equities, Foreign Exchange and Interest Rate and Commodity Derivatives Trading activity. The individual in this role will perform a broad range of quantitative analysis to support the Market Risk function, including monitoring and evaluating risks affecting current or anticipated capital, valuation, Value-At-Risk (VaR) and Counterparty Credit Risk (CCR). The person in this role will be viewed as a deep subject matter expert with a highly specialized skill set. The position requires a strong quantitative background.
ESSENTIAL JOB FUNCTIONS:
- Work with Chief Market Risk Officer, Senior Managers and multiple Trading Desk Heads in supporting the Market Risk function across a diverse set of product types including: Interest and Commodity Derivatives, Foreign Exchange, Fixed Income Bonds, Equities and Loans.
- Support the line of business with deep subject matter knowledge relative to market risk and market risk strategies
- Perform Model Validations among variousTrading, Middle Office andRiskManagement systems that include:
- Understanding the conceptual framework and assumptions of the models
- Assessing model performance through price replication, benchmarking and backtesting.
- Support how models are used in the business decision making process
- Review/write technical reports detailing the model’s calculations and use that will clearly document the mathematical or financial concepts used in the model
- Perform quantitative modeling using Excel, VBA, SQL queries, R, MATLAB, SAS, ADCo, Intex, Bloomberg TOMS, Thomson Reuters and IBM Algo One Risk Products
- Develop role as primary interface for Market Risk with external regulatory entities and internal risk control groups for modeling topics
- Act as mentor to other team members
- Develop and maintain effective partnership with participants/stakeholders within the QuantitativeRisk Management community
- Engage Market Riskdepartment of the potential impact of scenarios on the department’s models and validation methodologies.
- Ph.D. or Master’s degree in finance, mathematics, statistics or otherquantitative field.
- 7-10 years of financial modeling/ model validation experience
- Experience with development of testing methodologies and creation of working papers
- Advanced knowledge of finance including valuation methodologies, capital markets, financial instrument modeling, Structured Products, Value at Risk and Counterparty Credit Risk.
- Strong analytical and quantitative skills
- Exceptional verbal and written communication skills
- Advanced experience in Excel and Visual Basic
- Proficiency in a programming language such as SAS, R, or other advanced statistical software
- Ability to perform multiple tasks simultaneously to meet strict deadlines.
- Ability to work independently and in a team environment in collaboration with other team members and external consulting firms