Portfolio Market Risk Manager, Capital Allocation (VP)
You will be responsible for oversight of portfolio-level risk metrics, including Market Risk Regulatory and Economic Capital, and the Market Risk Stress Testing framework. The Portfolio Risk function also provides high-level MI to senior management, summarizing the aggregate risk profile and material concentrations, portfolio trends and emerging risk issues.
KEY RESPONSIBILITIES:
- Use analytical techniques to assess portfolio market risks
- Investigations into complex portfolio risks and significant new trades, provide opinions
- Interact with traders, research, risk and other functions, in order to put exposures into market context
- Report on market risk and capital issues to the bank's ALCO ExCo
- Have a real impact on trading decisions made by the firm's senior management
- Contribute to improvement of risk measurement, economic capital/ICAAP concepts and stress testing in the area of market risk.
SKILLS EXPERIENCE:
- 5-7 years of experience in Risk Capital Markets
- Risk measures, including VaR, Stressed VaR, Economic Capital, IRC
- Regulatory initiatives including IMM and AIRB
- Understanding of risk appetite and Capital Allocation
- Familiarity with Stress Testing frameworks
- Knowledge of economic capital and risk measurement concepts and methodologies
- Knowledge of a wide range of (complex) traded products, eg. interest rate and credit derivatives, bonds, structured credits
- Excel/VBA
PERSONAL ATTRIBUTES:
- Committed, client focus
- Analytical yet flexible
- Good verbal and written communication skills
- Numerate degree wit post-graduate qualification in Finance e.g. CFA, ACA, FRM, PRIMA an advantange.
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