Quantitative Risk Manager
The individual will also be responsible for managing the risk management aspects of new product development and the consideration of the risk management aspects of potential new cleared products:
Initial Margin
- Ensure the department has understanding of the detailed calculations; including the assumptions inherent within the algorithm.
- Ensure adequacy of algorithms is tested in line with policy.
- Ensure that parameters are reviewed in line with policy.
- Ensure the adequacy of initial margin is reviewed regularly and that clients for whom initial margins are sufficient are highlighted.
- Manage any development of initial margin algorithms to ensure that risk management practice remains within policy.
- Ensure that the algorithms remain in line with market best practice; recommending areas for improvement as appropriate.
Valuation
- Ensure the department has understanding of the detailed calculations; including the assumptions inherent within the curve building methodologies.
- Ensure that valuation policies and procedures, both intra-day and end-of-day, are reviewed against market best practice
- Manage any development of algorithms to ensure that risk management practice remains within policy.
- Ensure that the algorithms remain in line with market best practice; recommending areas for improvement as appropriate.
- Ensure all new and existing products are appropriately valued.
- Ensure pro-active review of existing policies highlighting areas where policy or parameters need, or would benefit from amendment.
Stress-testing
Maintain product specific stress-testing scenarios; ensuring that additional historical or theoretical scenarios are considered for inclusion in the model where observed market conditions, changes or potential changes in market behaviour would warrant consideration.
Market Monitoring
- Ensure that regular reporting is produced to identify exceptional positions
- Ensure that measures of liquidity and market behaviour are in place to quantify potential risks.
- Ensure that policies and procedures are applied consistently across products regardless of trade source of origin.
Collateral
- Ensure reviews of acceptable collateral and any associated haircuts are conducted in line with policy.
- Ensure valuation of collateral is consistent with market practice and valuation policies.
- Pro-actively review the list of approved collateral making recommendations for change as appropriate.
Management
- Management of a team of four Senior Risk Analysts and Risk Analysts.
- Perform additional managerial responsibilities including performance assessment and reporting, participation in recruitment and remunerations studies.
Required skills and experience
Must have:
- Strong experience within a central clearing organisation, broker or investment bank, incorporating knowledge of the full product life cycle
- Degree qualified/risk professional
- Specific knowledge of interest rate products, including swaps, repos and futures and options risk management.
- Previous experience of line management of similar sized team.
- Strong conceptual and practical knowledge of risk management in interest rate products including swaps, repos and futures and options.
- Logical approach to addressing issues and problem solving.
- Effective communication skills
Would like:
- Quantitative background (mathematics/finance/economics)
Application of systems knowledge and experience of spreadsheet programming, experience of process automation/enhancement.
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