Market Risk
This VaR methodology group will align to each business and region and work closely with the Market Risk Coverage (MRM), Market Risk Technology, and Model Risk and Development (MRaD), and interact extensively with Quantitative Research (QR), Middle Office (MO), Risk/VaR Reporting team, Front Office, and Controllers, to develop VaR models that fully capture the market risk taken by the Bank. This new group will be part of Market Risk Management.
Roles in the group will be based in New York, London, and Asia. The role covers all financial assets (Equities, FX, Commodities, Rates, Credit, Securitized Products, Mortgages, and Exotics) across all businesses within the firm. They are looking for candidates with diverse backgrounds at various entry levels - Executive Director, Vice President, and Associate. Successful candidates should have a combination of the following skill set:
Primary functions and Job Responsibilities:
· Develop new or enhance existing VaR models; Model developer should provide qualitative and quantitative justification for modeling choices, assumptions made, selection of data, reliability of model inputs which include risk sensitivities and market data, quantify VaR impact of the methodology, identify and quantify methodology limitations.
· Document new or changes to VaR methodology, which must be comprehensive and include all the work performed above.
· Identify risk-not-in-VaR (RNIV) and portfolio-not-in-VaR (PNIV) by working with MRM, MO, and QR.
· Quantify VaR impact arises from proxy or illiquid market data, RNIV, PNIV, model limitations, or changes in VaR methodology.
· Maintain a comprehensive inventory of RNIV, PNIV, proxy and illiquid market data, model limitations, and disapproved valuation models; and assess their VaR impacts and compute regcap add-on where required.
Skills/Qualifications
· Strong background in either financial market or quantitative research, and preferably having both:
· Candidates with financial background must have working experience in financial market or risk management (coverage, control, reporting), and have full products, businesses, and risk management knowledge.
· Candidates with quantitative background would preferably have a Ph.D. in hard science (maths, statistics, engineering, or science), and working experience in financial industry or model development (VaR, stress, or derivatives pricing models), and have shown first class research capability.
· Attention to details, tenacious, and commitment to get works done right and in a comprehensive manner. This mentality is necessary in model research and development, implementation testing, and writing documentation.
· Strong technical skills - either competent in Excel, capable of building an automated testing environment or handling of a large data set for analysis or testing.
· Excellent communication skills
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