Quantitative Modeling Senior Professional - Market Risk

KeyCorp   •  

Cleveland, OH

Industry: Financial Services


8 - 10 years

Posted 395 days ago

Job Description

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.


  • 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.

Required Qualifications:

  • 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