VP Market Risk Analytics

  • Competitive Base & Bonus
  • New York, NY, États-Unis
  • CDI, Plein-temps
  • Ashton Lane Group
  • 16 janv. 18 2018-01-16

Senior position developing market risk models for a global financial instruction

Responsibilities:

  • Develop, maintain and monitor the performance of market risk (VaR, Stressed VaR, IRC and CRM) and stress testing models for firms’ portfolio of assets
  • Undertake research, modeling, development and analysis to ensure appropriate modeling and capture of risk, regulatory capital calculation, ongoing compliance with regulatory requirements, as well as the ability to communicate effectively.
  • Analyze and understand changes in risk metrics due to model/position changes to ensure the changes are as expected.
  • Respond to audit, regulatory requests on a timely and accurate basis and work closely with other departments.
  • Interact with various Risk departments within the Firm including Market Risk, Credit Risk and Risk IT.

Requirements:

  • 7+ years quantitative experience developing, maintaining and monitoring market risk models
  • Expertise in VaR methodologies including Full Revaluation Frameworks       
  • Experience in model automation and production dealing with large scale data
  • Knowledge of regulations, regulatory documentation and rules is necessary.
  • Proficient in Excel and VBA, familiarity with database query languages, and experience using tools like R and Matlab for statistical analysis
  • Excellent communication skills
  • Masters and/or Ph.D. in a technical field such as, Mathematics, Statistics, Econometrics, Operations Research

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com

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