Market Risk – VP
NYC based bank is looking for a market risk manager that is responsible for assisting with overseeing a multi-asset derivatives business: understanding and explaining changes in VaR and risk sensitivities, creating and running scenario’s as necessary, and able to analyze and work with trading to resolve limit related issues and breaches.
- Responsible for explaining changes in daily VaR and SVaR as well as changes in risk sensitivities due to new trades and linear and non-linear market moves.
- Provide ad-hoc analyses as necessary, including correlation analyses, time-series analysis, and XVA related analyses.
- Work closely with department head on coordinating and managing BHC related efforts as well as any vendor related implementations.
- Manage production of market risk limits and breach reporting as well as necessary resolution plans to be executed by the front office.
- Design scenario, stress testing, and other analyses in order to determine portfolio weaknesses and potential risk exposures.
Qualified candidates will require:
- 6-8 years Market Risk Management experience.
- Demonstrable quantitative and analytical skills.
- Master’s degree in a quantitative field.
- Strong attention to detail, self-learner, can develop creative solutions to new problems.
- Ability to work under pressure with tight time schedules in a trading desk environment.
- Some programming skills preferred.