Director, Trading Risk Manager, Large Asset Management firm recruitment
A position on Market Risk Management team offers a successful candidate a unique opportunity to be part of a dynamic team that is developing and communicating market risk management trading risk and counterparty credit modeling practices. The team is comprised of trading focused associates that support Chief Market and Liquidity Risk Officer in driving the corporate market risk agenda.
The successful candidate will have the opportunity to manage the Investment Portfolio Risk and Return Analytics, Value at Risk and Counterparty Credit Exposure team. The team is responsible for implementing all facets of VaR, PFE, CVA and Bond Investment Portfolio analysis working in a fast-paced production and project-based environment. The manager will manage the daily production of trading asset VaR, PFE/EPE exposures and CVA calculations. The position requires the enhancement and monitoring of risk tools to price and evaluate risk. Strong communications skills are necessary to interface with the front office on day to day trades and coordinate amongst other Market Risk, Treasury and Finance colleagues.
Responsibilities:
- Work with Portfolio Managers to represent the Multi-sector business and products
- Perform / highlight portfolio and competitor analysis in support of multi-sector Investment Portfolio
- Lead portfolio reviews, conduct portfolio analysis, conduct market updates
- Implementation of Revised Basel 2.5 market risk initiatives from a methodology and practical application standpoint
- Participation in industry impact studies
- Submission to regulators for new and amended risk VaR models
- Manage PFE/CVA process and production
- Liaise with Treasury/Basel team to identify and resolve risk issues that impact capital
- Partnering with Regulatory Controllers and Treasury to aid in strengthening and promoting the Basel framework
Basic Qualifications:
- Masters degree or PhD level education
- 5-10 years of financial experience with focus on regulatory reporting
- Minimum 1 year of experience working with Basel I and proposed Market Risk rules and regulations
- Minimum 1 year of experience with PFE Modeling, CVA and Loan Equivalent Value and Bond Investment Portfolio risk analysis
- Minimum 1 year of experience in a highly regulated environment and working with regulators; experience of working on regulatory model applications for VaR is advantageous
Preferred Qualifications:
- Asset Management or Investment Management Background particularly in fixed income or bond portfolios
- Advanced degree in Finance or Financial Engineering or similar field
- The ideal candidate's experience will be primarily in long only investing with an emphasis on cash bonds; experience with derivative products a plus
- Solid in quantitative and analytical disciplines, ability to absorb new concepts quickly, analyze implications and make practical recommendations
- Knowledge of financial products is essential, including an understanding of derivatives greeks
- Possess strong verbal and written communication skills and be able to develop quality working relationships
- Fluency with MS Excel and experience with VBA; more generally, the candidate needs to be comfortable using many different tools to obtain and understand risk information
- Experience in managing constrained, on balance sheet assets for financial institutions welcome
- Strong understanding of relative value and fundamental analysis
- Very strong excel and vba skills
- Proficiency with PolyPaths
- In depth knowledge of Basel II, Dodd-Frank and Volker Rules specifically for Market Risk