Senior Analyst-Enterprise Risk Management

A leading US based firm is seeking a cross-asset (interest rates, credit, FX and equities) quantitative risk manager, ideally with 5-10 years experience to be Enterprise Risk team. In terms of quant analysis you will be using R analyse interest rate margins and sample stochastic scenarios. This team extremely high performing and the firm in question view this team as extremely important in its development. The successful candidate will be generating stochastic scenarios for both pricing and tail risk. You will constantly be involved with senior management and your advisory input and participation will be key in product and transactional approvals and model review discussions as well as reviewing and making recommendations for risk managing policies and approaches.
Responsibilities:

• Participate in the calculation of sensitivity risks and tail risks of diverse asset classes;
• Generate and test risk neutral and real world economic scenarios;
• Update and enhance data, model assumptions and methodologies used in stress testing;
• Participate in developing dependency models aggregating different risk categories.

Qualifications:

• MSc or PhD (preferred) in a quantitative field;
• Ideally have 5-10 years working experiences in capital markets as risk analyst, strategist, or asset allocation specialist.
• Solid understanding of basic financial engineering concepts such as risk neutral pricing, yield curve engineering and interest rate risk a must.
• Exposure to basic risk characteristics across broad range of asset classes desirable.
• Solid understanding of Monte Carlo simulation and Value at Risk.
• Solid understanding of factor models, risk attribution and risk aggregation.
• Strong communication skills;
• Must be a motivated team player with a desire to learn and enjoy being challenged beyond routine job functions;
• Familiarity with insurance industry desirable;
• Programming skills a plus. Experience with Matlab, R or other quantitative programming platforms a plus.

If you fit the above candidate background please send all applications to risk@selbyjennings.com

Type: Full-time

Location: New York

Category: Risk Jobs

Apply Email: risk@selbyjennings.com