AVP, Market Risk
Major Responsibilities:
- Daily valuation of derivatives portfolio and accurate reporting of greeks
and PL to traders and senior management
- Risk analysis and monitoring of trading activity on a daily basis
- Assist in trade input, rates collection and other daily tasks
- Analysis of credit simulation results and Simulating exotic transactions
to determine expected and potential exposures.
- Work with VAR calculation models, stress testing processes and other
daily processes
- Assist in the risk management of securities underwriting and related
bond/equity trading
- Exposure to new derivatives pricing methodologies in the market such as
CSA/OIS discounting, FVA etc.
- Exposure to the implementation of new regulatory regimes including
Dodd-frank, EMIR, Basel 3, Volcker etc.
- Handle other quant and non-quant regular and ad-hoc projects, working
closely with traders, research and senior management
Position is on the trading floor and work environment is fast paced. Direct
contact with front office (traders and marketers), research and analytics.
EXPERIENCE: 1 -3 year experience in a market risk or similar position in
financial industry
EDUCATION: Masters degree in Computation Finance/Math/Quant or closely
related field required. Combination of finance and mathematics preferred.
SKILLS: VBA or technical programming required. Very comfortable with Excel.
Good analytical skills.
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