Market Risk Analyst recruitment
This position reports directly to the Head of Market Risk Management. This individual is responsible for developing and implementing a comprehensive market risk framework for measuring, monitoring and reporting interest rate risk that is embedded in the Bank’s residential mortgage, RMBS, and interest rate derivative portfolios. The incumbent will assist with setting strategies and develop systems and solutions to complex problems and issues.
Responsibilities:
- Independently complete risk analytics and modeling projects.
- Work with client business units to determine modeling and analytic metric needs and desired results.
- Build, test and calibrate models and analytic processes; create documentation for all analytic and modeling activities.
- Perform vigorous modeling validations to meet internal and external regulation standards.
- Coordinate with technology staff to design, implement and calibrate risk systems or platforms.
- Identify process and systems gaps and develop solutions; assist in the development and implementation of market risk analysis and modeling strategies.
- Provide subject matter expertise to management; recommend analysis and modeling strategies.
- Develop and implement new analytic and modeling approaches, systems and processes.
Requirements:
- A Masters Degree or Ph.D. in finance, econometrics, operations research, mathematics, statistics, or engineering.
- 3 to 5+ years of related QRM working experience, or an equivalent combination of education and experience that would demonstrate the capability to successfully perform the essential functions of this position.
- Subject matter expertise in market risk analysis and modeling strategies.
- Rigorous understanding of yield curve analyses, library construction and analytics, and modeling of numerical solutions.
- Knowledge of residential mortgages, RMBS, and prepayment, credit models.
- Knowledge of VaR methodologies, market risk measures, and economic capital model.
- Analytical skills related to risk systems development.
- Functional knowledge that encompasses a variety of systems, projects, and platforms.
- Understanding of IT System Development Life Cycle.
- Proficiency in programming in VBA, MATLAB, SAS, SQL, and script languages.
- Risk systems: QRM/AL, Bloomberg.
- MUST KNOW QRM.
July 16, 2012
• Tags: Commercial Banking careers in the USA, Market Risk Analyst recruitment • Posted in: Financial