AVP, Market Risk Analysis & Control – Rates

Office Status: Hybrid (4 days per week in office)

Salary Range: $85,000-$140,000

Responsibilities:

• Help deliver 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)
• Provide analytical support to Market Risk Managers (MRMs) to facilitate risk management / business decisions; this includes performing ad hoc “What-if” impact analysis on statistical models (e.g., VaR/EC/RWA) of new trades, presenting, and explaining results to Market Risk Managers and Front Office traders
• Contribute to methodological enhancements and quantitative impact analysis, which includes applying statistical techniques such as time-series analysis, to improve or evaluate existing statistical models
• Develop and automate analysis reports for summarizing and presenting statistical results to facilitate robust risk management practices; this includes assisting in developing, maintaining, and enhancing the python library for analytics and reporting
• Understand the current market risk management infrastructure and drive improvements in collaboration with MR Change and IT teams. Help identify and resolve data quality and inconsistency issues in collaboration with other MRAC teams. Contribute to projects to increase Front to Back efficiency, improve controls, or satisfy regulatory requirements such as Fundamental Review of Trading Book (FRTB)
• Help MRMs develop automated solutions around their processes working with Information Technology and strats teams