AVP – Market Risk recruitment
Key objectives include:
- Calculation, analysis and reporting of VaR (Value at Risk) and market risk sensitivities (delta, gamma, vega, theta etc) for bank-wide trading activities
- Liaise with Senior Market Risk Managers, Business Area Control, Finance to validate explain material risk moves in daily VaR sensitivities
- Management of critical backtesting control process, involving daily comparison of calculated VaR to actual PnL across all business lines; including the Americas Regional review
- Calculation, analysis reporting of market risk stress tests and economic capital
- Implementation VaR methodology projects in partnership with Market Risk Managers, RAI, and the Business
- Compilation of historical market data time series to support VaR calculation process
- Liaise with Internal Audit Local/Global regulators are Market Risk process issues
- Remediation of any New York relevant audit issues from Internal External auditors.
- Monitoring of Market Risk limits to ensure detailed, accurate timely reporting and commentary across all New York-based businesses
Requirements:
Experience can be from a public accounting background, or from another large bank.
A good understanding of finance and the markets is required for this role.
Specific technical knowledge should include some of the following - VaR and the Greeks (sensitivities), financial product knowledge across all classes (FX, Credit, Equities, IR etc ..)
The successful candidate will be responsible for relationship management with market risk managers and also lead business-specific initiatives across the all risk asset classes (Equities / FX / Credit / Commodities / Interest Rates).
Strong communication skills and the ability to drive projects to completion.
March 9, 2010
• Tags: Accounting & Finance careers in the USA, AVP, Market Risk recruitment • Posted in: Financial