Market risk methodology | VaR Analytics

Quantitative risk candidate required for IB`s risk modelling team focusing on VAR analytics and model implementationrnA leading global investment bank is looking to expand its
A leading global investment bank is looking to expand its front office quantitative risk team with this key hire. The position will work closely with the front office teams in the development of strategies and procedures in the measurement of all models developed by the quantitative risk teams at the bank. The risk specialist will have consistent interaction with senior management and play an active role in new product development and implementation.
The market risk specialist will have the following responsibilities:

• Delivery of new risk information from front office systems
• Enhancements of the VaR methodology
• Oversee the global testing, rollout and implementation of VaR and other market risk models.
• Liaise with business facing risk managers as well as IT and risk methodology.
• Interact with senior management in other areas of the business in regards to new product development and its relation to quantitative risk.

The successful candidate is likely to have the following background and skill set:

• Degree educated (or equivalent) in a quantitative subject
• Good rates product knowledge, sound understanding of regulatory requirements and latest market best practice for VaR methodology and stress testing
• Thorough knowledge of vanilla financial Instruments and an appreciation of VaR techniques for both linear and non-linear portfolios
• Experience of managing front to back development in risk capture/infrastructure/reporting and modelling
• Experience of Trading/Market Risk/Credit Risk/Middle Office/Finance would be a pre-requisite
• Quantitative background and VBA/Access skills advantageous

Please send all applications to risk@selbyjennings.com

Type: Full-time

Location: New York

Category: Risk Jobs

Apply Email: risk@selbyjennings.com