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
- 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.
- 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: email@example.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
Ashton Lane Group® “A trusted advisor throughout your career”