AVP, Market Risk Analysis and Control (MRAC) – Credit

Full Time

International Investment Banking Client

Office Status: Hybrid

Responsibilities:

  • Deliver accurate and timely analysis and explain statistical models; these include but are not limited to Value at Risk (VaR), Stressed Value at Risk (SVaR), Incremental Risk Charge (IRC), Risk Weighted Assets (RWA) and Economic Capital (EC)
  • Interpret statistical results and review reports for accuracy before communication with market risk managers and front office traders
  • Provide ad hoc analytical support to Risk Managers to facilitate risk management / business decisions. This includes “what-if” impact analysis against existing risk measures, and business specific stress tests
  • Contribute to methodological enhancements and quantitative impact analysis, which includes applying statistical techniques to improve or evaluate existing statistical models
  • Contribute to projects to increase Front to Back (FRTB) efficiency, improve controls, or satisfy regulatory requirements such as FRTB
  • Develop interactive reports for summarizing and presenting statistical results to facilitate robust risk management practices. This includes helping to maintain and enhance our python library for analytics and reporting

Qualifications:

  • Broad financial market and product knowledge, preferably with expertise in Credit products which can include Credit Flow derivatives, commitment options, CRE, CMBS, RMBS, infrastructure loans
  • Experience using large datasets in a statistical software package (e.g. Python, R, Matlab) for analysis and risk management, along with excellent excel skills. Details-focused and numerically literate, with an aptitude to improve efficiencies
  • Excellent communication skills – ability to articulate technical and financial topics with global stakeholders
  • Nice to haves: Emerging Markets experience (either credit or rates), SAAS, tableau, VBA experience
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