VP Quantitative Market Risk Manager recruitment

The Company
Our client is a global financial institution offering retail banking, direct banking, commercial banking, investment banking, asset management, and insurance services.

The Role
The role of this VP Quantitative Market Risk Manager is to analyze organization's market risk exposure on a day-to-day basis for various financial products within the Interest Rate Derivatives (main focus), the Equity Derivatives and the FX Derivatives books as well as other quantitative related topics. It involves the analysis of the pricing models and its sensitivities that are used in the various non-linear portfolios, functioning as a linking pin between the quants of Market Risk Management (located in Europe), the quants of Front Office (located in Asia and Europe) as well as the market risk managers of the derivatives portfolios in Asia and being involved in various other quantitative related topics such as yield curve analytics. This role requires that the suitable candidate has excellent knowledge of financial products and pricing models and has experience with these models in Emerging Markets.

Main responsibilities would include analysis of the risks related to the use of pricing models as well as the parameters used in these models with a strong focus on Emerging Market, reviewing of trade approvals, acting as a liaison between Quants of Market Risk Management, Quants of Front Office and risk managers of the respective desks in Europe and Asia. You will also be responsible for correct and complete risk assessment and valuation, interaction with traders with regard to new initiatives and questions related to risk and PL, contribution to the monthly 'parameter' meetings with Front Office and Finance and training of team members on quantitative aspects of the books as well as the trades requested for approval.

Your Profile
Suitable candidates must have a Master's degree in Econometrics, Mathematics or other related quantitative field with at least 6-8 years of experience in Market Risk, preferably in Interest Rate Derivatives. You need to have a solid knowledge of pricing models (Hull White, BGM, Heston etc.) and good experience with Summit, Murex and Sophis (is a pre). You also need to have in-depth knowledge of financial products and good communication skills.

Apply Today
Please send your resume, in WORD format and quote reference number HI8637, by clicking the apply button. Please note that only short-listed candidates will be contacted.