VP, Market Risk Manager – Equity Derivatives

Full Time

Madison-Davis

EXTERNAL CLIENT ROLE

Position Summary:

The incumbent will, as his/her prime role, play an important part in ensuring that market risk for the Equity Derivatives and Rates desks is completely captured, quantified and controlled. The focus of the role will be on Equity Derivatives, Convertible bonds, Government bonds, Corporate bonds, etc. The role will include ad hoc analysis of specific risks and transactions. In addition, the candidate will be expected to participate in leading group-wide projects, contributing innovative thinking and an advanced analytical approach. The incumbent will require a good understanding both of the financial markets in general, and of the analytical principles underlying the pricing and risk management of complex derivatives. Nature of the role involves making timely decisions in respect to complex risk scenarios within a dynamic, time sensitive trading room environment.

Job Duties:

· Recommend appropriate risk limits and ensure processes are in place to monitor against limits. Review that the line of business activities fall within pre-established boundaries and expectations or concerns are escalated for management review.

· Ensure the integrity or risk measurements and limit monitoring, resolve violations of market risk limits and monitor linkage of Trading P&L to risk appetite. Review market risk limits on an ongoing basis.

· Analyze and report on the ongoing risk profiles of specific parts of the EQD and Rates business, maintaining a continuous awareness of issues affecting the risk management of these markets.

· Work with infrastructure partners in the onboarding of new products and their attributes, including risk assessment and capture.

· Work closely with different parts to facilitate effective dissemination of timely and accurate market risk information to Senior management.

· Work closely with technology and Business Support groups in ensuring continued development of comprehensive risk capture processes, taking a lead role in ensuring the integrity of market and risk data.

· Perform User Acceptance Testing for new initiatives in methodology changes, risk measures and new programs.

· Work closely with quantitative analysts to develop/enhance portfolio risk and stress test modeling.

· Monitor global macro market environment, reporting on the impact of market events on current portfolios

· Communicate technical, analytical and conceptual information regarding market measurement/methodology to various internal stakeholder throughout the organization on a daily and weekly basis.

· Operate with independence to measure and monitor market risks in the regional businesses for which he/she is responsible.

· This job collaborates with peers both inside and outside the work unit when identifying, discussing and resolving business issues related to the work area.

Qualifications:

· 5-10 years’ practical risk management experience in Equity derivatives and/or Rates products.

· Familiarity with methodologies for quantifying and analyzing market risks; good knowledge of relevant systems/programming issues.

· Knowledge of VAR and PFE methodologies

· Familiarity with methodologies for quantifying and analyzing market and credit risks and knowledge of exchange traded and OTC derivative products and corresponding regulatory capital framework

· Demonstrated interest in markets and macro trends and the ability to assess impact on client portfolios

· Strong interpersonal and communication skills with particular ability to translate technical complex issues for a variety of audiences. Excellent negotiation and mediation skills are highly desirable.

· Undergraduate degree in a quantitative discipline preferred (Mathematics, Engineering or Computer Science)

· Highly proficient Excel skills as well as knowledge of Python, VBA, and/or other programming languages a plus.

· Self-motivated and flexible approach. Strong attention to detail and ability to focus on macroscopic view. Able to work independently and as part of a team. Able to effectively manage multiple projects of varying complexity.

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