VP - Market Risk/FRTB Production
VP - Market Risk/FRTB Production
A leading Investment Bank in NYC is looking to hire a VP level candidate specialized in Market Risk and Market Risk Production to join their Portfolio Risk & Portfolio Risk Analytics team.
This hire will report directly to the Head of Portfolio Risk Analytics and be responsible for the development and methodology of Market Risk metrics and reports, as well as work on VaR back-testing and regulatory implementation for FRTB. This candidate can have great exposure to senior management senior decision makers in the business as they continue to grow.
The ideal hire will be coming from a Market Risk, Risk Production, or FRTB Implementation role with experience across traded products and Market Risk Data. Candidates must be proficient in Python, SQL, and Tableau.
Responsibilities:
- Build and develop Market Risk Dashboards and Reports (VaR, SVaR, RNiV) for the firm's Traded Asset Classes (IR/FX/Credit)
- Assist in the development of various Risk Capital Models for FRTB
- Engage with Risk Managers and FO Quants to understand data methodology procedures for FRTB
- Assist in reviewing VaR and FRTB Data and develop tools that help market risk data completeness efforts
- Develop new Risk Analytics and tools for Market Risk Managers and Front Office
- Coordinate with other teams for FRTB sign off
Qualifications:
- 5+ Years of experience in Market Risk, Market Risk Production, or FRTB Implementation role
- Strong understanding of Market Risk and FRTB Data and their respective completeness efforts
- Working experience on Market Risk Model development
- Working ability in Python, SQL, and Tableau
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