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VP Market Risk

  • Location: New York
  • Job Type: Direct Placement
  • Ref No: 22-06216
  • Date: September 28, 2022
  • Pay: $0.0 - $180000.0 per Hour USD
  • Job title:

Job Description - VP Market Risk

This is a quantitative risk manager role within the company's Americas' Market and Counterparty Risk Team primarily covering Rates, FX, XVA, SIMM, and Counterparty Risk models



Major Responsibilities:



Model coverage for Rates, FX, XVA, SIMM, and Counterparty Risk (valuation and risk models)

Participate/lead in the development of models across all phases of the project lifecycle from analysis to methodology to technical implementation

Ensure models comply with the model risk management framework (model documentation, performance monitoring, model enhancements, etc.)

Quantitative liaison for the regulatory reviews of market and counterparty risk models

Interface with risk managers and front-office to understand quantitative requirements

Perform quantitative P/L and risk analysis

Evaluation of new products from a quantitative perspective



Qualifications:



The right candidate will have:



Bachelors/Masters in a quantitative discipline, such as Quantitative Finance, Computer Science, Statistics, Engineering, or Mathematics

5 plus years of relevant experience in a quantitative, trading or risk management function

Strong analytical skills and knowledge of quantitative risk models, financial engineering, and derivative valuation techniques

In-depth knowledge of market and credit risk analytics, including VaR, stress testing, CVA/FVA, SIMM, and PFE

Strong quantitative and programming abilities (C, C++, C#, VBA, Matlab, SQL, Java, etc.)

Excellent communication and writing skills

Ability to write technical documentation




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