Vice President, Market Risk VaR Methodology

Primary functions and Job Responsibilities:

•         Develop VaR methodologies for new or changed VaR models

•         Specify requirements and drive the implementation of new or changed VaR models; document support for all the work performed, including qualitative and quantitative justification for modeling choices, assumptions, selection of data, reliability of model inputs (e.g., risk PhDVP, Market Risk sensitivities and market data), and implementation testing. Also need to document the VaR impact of the methodology, and identify/quantify methodology limitations 

•         Perform implementation testing and sign off on implementation of changes once required governance requirements have been met, such as regulatory or risk committee approval

•         Understand  the key risks driver for VaR at product, business and firm-wide levels, and communicate to MRM colleagues and senior management any potential risk coming from VaR number for risk management purposes

•         Maintain a comprehensive inventory of risks not in VaR, portfolios not in VaR, proxy and illiquid market data, model limitations, and disapproved valuation models; and assess their VaR impacts and compute reg cap add-on where required

•         Perform ongoing validation of VaR models, including identification of significant portfolio or market changes requiring re-review

 

Skills/Qualifications

We are looking for candidates with diverse backgrounds at the Vice President level. Successful candidates should have a combination of the following skill set:

•         Strong background in financial market or quantitative research (preferably both):

Ø  Candidates with financial background must have working experience in financial market or risk management (coverage, control, reporting), and have full products, businesses, and risk management knowledge

Ø  Candidates with quantitative background would preferably have a Ph.D. in hard science (maths, statistics, engineering, or science), and working experience in financial industry or model development (VaR, stress, or derivatives pricing models), and have shown first class research capability

•         Strong analytical skills, lateral thinker; able to develop a new concept or challenge existing concepts

•         Tenacity, commitment and attention to detail to drive model development from initial design and research all the way through development, implementation testing and written documentation

•         Strong technical skills (e.g., excel, access, etc.) to facilitate analysis and testing of large data sets

•         Keen interest in internal policy and governance and external regulatory rules and supervisory guidance; and a strong personality to lead self and others to be in full compliance with these policy and rules

•             Strong communications skills - Verbal and Written

•             Team work oriented - Active collaborator and self starting individual

•             Strong organizational and project management skills. Risk Control mindset

•         Work well under pressure with commitment to deliver under tight deadlines

April 1, 2013 • Tags:  • Posted in: Financial

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