Sr. Risk Manager
The successful candidate will be responsible for leading a team the will perform back-testing, performance monitoring, and related model governance tasks over the lifecycles of the models in Model Inventory; work closely with business partners in model development, model risk and technology; understand counterparty risk measurement methodologies and processes, including potential future exposure, aggregation methodologies and the supporting technical infrastructure; engagement during internal and external regulatory oversight activities related to performance monitoring, back-testing, and other model governance activities.
Candidates must have a Masters degree in a quantitative discipline. PhD is a plus and would count towards experience. Must have at least 8+ years of related industry experience and excellent knowledge of derivatives and traded products. Exposure to counterparty credit risk (PFE, EL credit capital) and/or market risk methodologies (Monte Carlo, Greeks, VaR) is required. Experienced with C/C++, VBA, Excel and Matlab. CFA/PRM/FRM are a plus. Experience with trading desk operations systems (Calypso, Endur, etc.) is a plus. Prefer candidates to have experience leading a small team but it is not a must. Excellent written and oral communication skills are required.
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