One of our global investment banking clients is looking to hire!
As a Director of Market Risk Analytics, you will be responsible for overseeing the development and management of a variety of market risk and capital models for the bank. More specifically the candidate will lead all risk analytics initiatives and development relating to a wide spectrum of businesses, including Interest Rates, FX, Equities, XVA, Banking, and Securitized Products.
Responsibilities
- Design, develop, test, monitor and engineer market risk models across products.
- Spearhead quantitative research to deploy new modeling methodologies, enhancements and remediation plans
- Work with stakeholders across business and functional teams during model development process
- Conduct analysis on existing model short-comings and design remediation plans
- Develop Market Risk Analytics platform
- Support discussion with regulators as a subject matter expert
Qualifications
- 10+ years of experience developing statistical models with a market risk lens
- Masters Degree or above in any STEM related fied; mathematics and statitics preferred.
- Deep understanding of Value-at-Risk (VaR) and counterparty credit exposure models preferred
- Experience with pricing and risk models for financial derivatives
- Strong working understanding of the derivative markets mainly fixed income, equity and credit product offerings.