Quantitative Risk Analytics AVP or VP level recruitment
This is a risk analytics position in the Risk Management Department. The position will functionally focus on four main, interrelated areas:
1) Design/Develop market risk models for stress tests and VaR calculations
2) Design/Develop models counterparty credit risk measurement
3) Validate level 2/3 front office pricing models
4) Liaise with Risk IT to develop short term and strategic solutions per the Departments strategy and day-to-day needs
5) Develop risk measurement methodologies and solutions
6) Liaise with Risk IT to develop short term and strategic solutions per the Departments strategy and day-to-day needs
7) Provide live trade support, manual overrides and alternative methodologies for trade types not covered by the risk systems
The person will most likely have masters of doctorate degree in a quantitative discipline (Computational Finance, Mathematics, Finance, Economics), and have risk management experience. The skills required for the position are the following:
1) Experience in market risk measurement
2) Experience in calculating credit risk measurement methodologies and measures such as EE, PE, LGD, EAD, PD
3) Experience in Economic Capital calculations
4) Experience and understanding of risk systems implementation, and operational maintenance
5) Computer/programming skills: VBA, Excel, Access, SQL, Bloomberg
6) Mathematics skills: Stochastic calculus, derivatives pricing, statistics
7) Product experience/understanding: Derivatives (equity, fixed income, foreign exchange, commodities); Securities Finance (margining, PB, repo, stock loan/borrow); Mortgage Products (MBS, CMO, TBA); Munis
