Market risk analyst | ABS and structured credit
A leading hedge fund in London is looking to expand its market risk team with this key hire. The role will involve daily reporting and project responsibilities, with significant input into decisions that will assist in directing trading activity and risk appetite.
The market risk analyst will have the following responsibilities:
• To produce, review and validate daily Value at Risk (VaR), Sensitivity, Scenario, Counterparty and Liquidity risk assessments for structured credit and ABS strategies
• To produce associated control and reconciliation reports including monitoring and tracking all limit excesses
• To improve risk assessment methods for synthetic CDOs and FTDs for VaR calculation, stress testing and liquidity modeling
• To assist in the design, implementation and testing of additional risk and performance reports to assist in the management of the trading businesses
• To be involved in the migration of risk analysis and reporting from the funds in-house CDO risk platform to Front Arena
• To be involved in the development of a Risk Dashboard, employing state of the art business intelligence software
• To be involved in the development of a credit VaR model for the structured credit business
REPORTS TO: Risk Manager / Head of Risk Management Portfolio Analysis
The following skills, personal attributes and experience are considered essential for this role:
• A graduate or postgraduate, ideally with a first class degree in Mathematics, Physics or Engineering
• A strong quantitative background and good understanding of statistical techniques
• Some experience of programming desirable
• Strong problem solving skills
• Ability to demonstrate good team working skills
• A strong interest and motivation to pursue a career in finance
Please send all applications to risk@selbyjennings.com