Portfolio Risk AVP recruitment
Main Duties
- Develop and run reports for senior management necessary to evaluate the result of proposed risk-reduction mechanisms
- Coordinate the aggregation of risk information for firm wide reporting and risk management
- Propose systematic ways to reduce down-side risk on the aggregate bank level
- Analyze top-level VAR for underlying drivers and hidden risk
- Develop and implement comprehensive methodologies for stress testing, measuring inter-asset class dependence and diversification effect in the bank's portfolio of businesses
- Analyze most significant exposures and drivers of PL volatility, propose pro-active way to manage volatility and downside risk
- Implement and run models, propose specific trades
Person Requirements
Basic Qualifications:
BA or BS Degree or equivalent
experience in Market Risk
experience working with Excel
Preferred Qualifications:
MSc/PhD in a numerate subject and/or finance/MBA degree. Advanced excel/VBA skills. Experience with advanced statistical software (R/Matlab/SAS) and SQL, skills to build tools that will help in carrying out the responsibilities in this role. Strong experience with regression analysis and other statistical/econometric techniques.
Market risk management and reporting experience. Experience with VaR - theory and practice, strong understanding of modeling and underlying assumptions.
Experience with managing risk for a diversified portfolio. Experience with multiple asset classes (equity/credit/FX/rates) and derivatives. Experience with scenario analysis, theory and practice of hedging (including cross-asset-class models), familiarity with systematic trading models
Finance Professionals is part of Hydrogen Group.
