AVP / VP, Equity Market Risk

Full Time

Madison-Davis

EXTERNAL ROLE

Job Summary:

The candidate will be working with the current team of risk managers covering the Equities trading desks across three booking / legal entities.  The role will include performing daily VaR/risk exposure reporting, reviewing risk positions, discussing risk exposures with the Equity Market Risk team and traders, escalating issues when necessary, assisting in building out a more detailed limit framework for the Equity Derivatives business, daily and weekly review of stress scenario results, monitoring correlation (Equity/Equity, Equity/FX) risk in the Equity Derivatives business, and working with the IPV team quantifying monthly reserves.

Qualifications:

  • 5-8 years’ experience in either or combination of Equity trading and/or Equity Market Risk
  • Strong analytical background and understanding of Equity Derivatives product attributes and risk profiles
  • Experience risk monitoring of Equity Exotic Options (Autocallables, Asians, Averaging Style Options, Barriers, Call Spreads, etc.)
  • Knowledge of the pricing models used for the same Equity Exotic Options
  • Ability to understand and monitor correlation risk
  • Experience in usage and retention of volatility surface time series data, surface normalization, pillar extrapolation / interpolation methods
  • Knowledge of commonly applied stress scenarios and position levers to impacting stress scenario outcomes / Pl results
  • VB / DB Programming skills
  • Previous Experience with Murex platform is preferred
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