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Director, Market Risk Analytics Specialist

  • New York, NY
  • Full Time

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Office Status: Hybrid
Salary: $188,000 – $209,000

Responsibilities:

  • Research on the conceptual soundness of the capital-related market risk models, including VaR/SVaR and FRTB
  • Scenario simulation choices (e.g. parametric, historical, Monte-Carlo)
  • PnL generation choices (e.g. sensitivity-based, partial-reval, full-reval)
  • Historical data filling/proxy
  • RNiV analysis
  • Maintain the firm’s market risk models and enhance them if needed to bring them to the best industry practice.
  • Design the ongoing performance monitoring procedures to effectively monitor the market risk models’ limitations, including but not limited to the following: Various benchmarking approaches, Stress period selection/calibration, RNiV quantification, PnL attribution, Historical data quality
  • Oversee capital-related model development, model performance monitoring, model validation, model audit, and regulatory model reviews.
  • Ensure the model implementation is accurate.
  • Control the quality of model testing/monitoring reports.
  • Remediate the identified model issues by internal/external parties.
  • Prepare materials/evidence to support model audit and regulatory model reviews.