Senior Manager, Market Risk Modelling (Pensions/Trading Book) recruitment
Summary
This role sits within a team who take responsibility for Market Liquidity Risk covering the pricing, counterparty credit and market risk measurement modelling for the bank. The team develops and maintains the market risk measurement methodologies for the banking and trading books such as Value at Risk, Stress Testing, Net Interest Income Sensitivity. The team also develops prototypes for implementation of such methodologies and liaises with the relevant Risk functions for approval of such methodologies.
The Senior manager in this team will have a number of direct reports.
Accountabilities
- Development of Market Risk measurement methodologies (e.g. VaR and stress testing) and where applicable, development of infrastructure used to compute these metrics
- Support the risk managers in validating any market risk measurement models developed in the business areas.
- Research and propose methodology enhancements arising from regulatory developments, new product coverage and to improve current methodologies.
- Communicate at all levels (i.e. senior management, business heads, other risk disciplines)
- Maintenance of current VaR models and testing and implementation of methodology enhancements.
- Provide quantitative and theoretical support to other team members
- Ensure that proposed methodologies fully comply with FSA requirements around Market Risk measurement.
- Lead team on internal projects and ensure that requirements around changes and testing to current VaR and stress testing methodology are appropriately planned and implemented
- Manage a small team, including organising and review work, setting objectives/timelines providing feedback.
- Manage one or more local change initiatives.
Key Capabilities/ Knowledge:
- A higher qualification in a quantitative discipline such as Applied Mathematics, Finance etc or clear evidence of comparable quantitative skills acquired through relevant training and work experience.
- Strong skills in the use of relevant programming tools (Visual Studio, VB.net, Excel VBA)
- Typically 5-10 years of Finance/Banking experience, including in depth knowledge of VaR and stress testing models and a sound practical understanding of market risk methodologies, and experience of derivative pricing across multiple asset classes
- Excellent written and oral communication skills – in particular, an ability to communicate complex technical ideas to a diverse audience.
- Strong knowledge of best practice techniques in the industry covering Market Risk measurement.
- Demonstrable knowledge of a deep understanding of relevant regulations (BIPRU, CAD etc)
- Evidence of building strong and productive relationships with key stakeholders
- Flexibility – willingness to take on a variety of tasks and “get hands dirty.”
June 25, 2012
• Tags: Market Risk Modelling (Pensions, Risk Management careers in the UK, Senior Manager, Trading Book) recruitment • Posted in: Financial