SVP Market Risk Analytics

  • Competitive Base & Bonus
  • New York City, NY, USA
  • Festanstellung, Vollzeit
  • Ashton Lane Group
  • 17 Nov 17 2017-11-17

Senior position developing market risk models for a global financial instruction

Responsibilities:

  • Direct research, modelling, development and analysis to ensure appropriate modelling and capture of risk, regulatory capital calculation, ongoing compliance with regulatory requirements
  • Understand the Value at Risk (VaR), Regulatory Stressed VaR modelling and regulatory capital framework, including the production, maintenance, documentation and continuous enhancement of the models.
  • Analyze and explain changes to VaR due to model/position changes, to ensure that the changes are as expected.
  • Work closely with audit, model validation, regulatory agencies and responding to their requests on a timely and accurate basis and working closely with other Market Risk departments
  • Interact with various Risk departments within the Firm including Market Risk, Model Risk Management, Credit Risk, Risk IT and Finance

Requirements:

  • 10+ years quantitative experience developing, maintaining and monitoring market risk models
  • Expertise in VaR methodologies including Full Revaluation Frameworks      
  • Experience in model automation and production dealing with large scale data
  • Broad experience with Fixed Income and Equities products.  Rates modelling including HJM and SABR frameworks     
  • Knowledge of regulations, regulatory documentation and rules is necessary. Familiarity with FRTB guidelines        
  • Strong technical skills (R, Python, Matlab) for statistical and econometric analysis and   proficiency in Excel and VBA
  • Excellent communication skills and credibility to operate at a senior level within the organization
  • Ph.D. in a technical field such as, Mathematics, Statistics, Econometrics, Operations Research

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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