Senior Associate - Risk Analytics Senior Associate - Risk Analytics …

Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 06 Oct 21
Negotiable
Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 06 Oct 21
Negotiable
Selby Jennings QRF
A top Derivatives Trading firm is looking to hire a Senior-Associate/VP-level candidate to their Risk Analytics group. The firm has a strong reputation across the industry, is headquartered in New York City, and has a global presence with offices in Hong Kong, London, Japan, and Singapore.

A top Derivatives Trading firm is looking to hire a Senior-Associate/VP-level candidate to their Risk Analytics group. The firm has a strong reputation across the industry, is headquartered in New York City, and has a global presence with offices in Hong Kong, London, Japan, and Singapore. As a derivatives dealer, the firm has a particular focus on Interest and FX swaps, FRAs, options, exotics products, commodity derivatives, and exchange traded products such as treasury bonds, interest rate futures and options, currency futures, and treasury futures/options.

The Risk Analytics group is primarily focused on developing/maintaining models and tools used by the broader risk management division and front office, and to perform tests for the firm's valuation and risk models. This position will report directly to the Head of Risk Analytics.

Responsibilities:

  • Own the Initial Margin model and work with the Front Office, Portfolio Analytics, and Systems teams to ensure that modeling and processes meet internal and regulatory requirements
  • Develop and maintain market risk models including VaR, stress-testing, exposure models, etc.
  • Develop and maintain tools for counterparty credit risk, including CVA VaR, stress-testing and backtesting
  • Design and implement ongoing performance monitoring tools for valuation and risk models
  • Produce performance reports for the Head of the group
  • Act as a direct point person for ad-hoc quantitative risk requests and/or projects

Qualifications:

  • Master's degree at a minimum, PhD preferred
  • 5-7 years of experience in risk management, quantitative modeling, pricing or valuations
  • Strong knowledge of derivatives and their key risks
  • Familiarity with VaR and stress-tests
  • Strong proficiency with Python or R
  • Strong communication skills
  • Understanding of regulatory requirements for model risk
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