Market Risk Manager – VP 22 views1 application

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.

Responsibilities:

  • 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.
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