Portfolio Risk Modeler, Capital Markets| Los Angeles, USA
JOB DESCRIPTION:
With a continuing drive for growth in the capital markets division, a US bank is currently looking to hire a senior portfolio risk modeler for the Los Angeles office.
This position lends itself to a senior quantitative risk professional, with experience dealing with Investment Portfolio review and reporting, Model development, validation, and integration, Macro and micro portfolio optimization analysis and recommendations, Hedge design, and Strategic initiatives.
A detailed experience of Credit Portfolio Management is key for this role, as you will be responsible for managing the exposure and integration of investment book and broad-bank loans.
Responsibilities:
- Develop portfolio optimization recommendations incorporating the Treasury Department objectives and guideline/requirements Regulators, Compliance, Legal, and Accounting.
- Identify, and evaluate risks across the investment portfolio; Credit, Market, Liquidity, and Counterparty.
- Develop quantitative risk models including the credit risk modeling of the banks Investment Portfolio positions. Utilizing Scenario analysis, Stress testing, Sensitivity analysis, Performance attribution, and VAR.
- Investigate and propose derivative hedging strategies and conduct Investment strategy backtesting, VaR analysis and Credit exposure impact on PL.
- Calculate investment PL and perform PL/Return attribution.
- Within the context of potential macroeconomic environments, assist in monitoring portfolio concentrations and key exposures across different sectors, asset groups, and durations.
- Routinely test utilized and potential risk and return-based models, and measurement systems used to develop fixed income investment strategies.
- Assist ALM Strategies to support balance sheet management objectives.
- Work with Treasury Portfolio Managers for implementation of approved strategies to balance book yield, total return and risk dimensions.
Experience and Skills
- Ten years of relevant portfolio analytics/strategies experience in banking and or asset management.
- Strong credit expertise, including Credit Portfolio Management experience.
- Superior quantitative capabilities and demonstrated analytical skills, with hands on modeling capability using simulation and statistical techniques.
- Significant experience, working with fixed income models in an investment, trading or asset management risk function.
- Expertise with SAS, R, Sequel or other statistical data applications. Programming expertise, for example: VBA, C++, MatLab, FINCAD.
- Broad knowledge of Bank balance sheet mechanics. Also deep understanding of diverse fixed income markets including Structured Credit investments.
- Risk applications/services: (e.g. BlackRock Solutions, Moody's KMV, Kamakura, KRIS, Reuters, DST, Murex)
Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies
We welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.
Applying:
Contact: James Friend on +44 (0) 203 141 8000
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5025
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 0203.141.8000
Westminster Tower, London, SE1 7SP | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Markets
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