Job Profile: Interest Rate Market Risk Analyst
Date:
3/5/2010
Location:
New York, New York, United States
Sector(s):
Risk (Market)
Client:
Investment Bank
Reference #:
W4242
Risk analysis supporting the derivative trading desk of a global bank
Responsibilities:
<!--[if !supportLists]-->· <!--[endif]-->Analyze and control daily risk metrics produced on trading activities including fixed income, interest rates derivatives and FX.
<!--[if !supportLists]-->· <!--[endif]-->Work with senior market risk professionals on monitoring market risk limits and making quantitative and qualitative assessments of activity risk profiles and markets.
<!--[if !supportLists]-->· <!--[endif]-->Conduct review of migration projects. Assess impact of new versions roll-out, new perimeter definition, parameter/model changes and market data sources modifications. Quantify impacts on rates sensitivities, stress tests and VaR. Makes recommendation on the migration to production environment.
<!--[if !supportLists]-->· <!--[endif]-->Develop tactical reports to help analyze market risk exposure. The analysis will be performed on a transversal and historical basis (limit calibration) or on a position change basis (position surveillance) following Senior Risk Manager guidance.
<!--[if !supportLists]-->· <!--[endif]-->Evaluate integration of new traded products, including pricing and risk requirements (stress testing/VaR).
<!--[if !supportLists]-->· <!--[endif]-->Back-up risk manager for limits management and day-to-day monitoring.
<!--[if !supportLists]-->· <!--[endif]-->Coordinate with other groups including I.T to define specifications and production roll-outs.
<!--[if !supportLists]-->· <!--[endif]-->Enhance consolidated data reporting by tracking and reviewing position changes, VaR back-testing
Requirements:
<!--[if !supportLists]-->· <!--[endif]-->3+ years market risk fixed income products experience
<!--[if !supportLists]-->· <!--[endif]-->Good knowledge of fixed-income, IR & FX derivatives products including quantitative pricing and risk modeling.
<!--[if !supportLists]-->· <!--[endif]-->Ability to analyze quantitative model outputs (valuation, stress scenarios, etc)
<!--[if !supportLists]-->· <!--[endif]-->Proficiency using SQL Query/Database and Excel/VBA programming, Bloomberg.
<!--[if !supportLists]-->· <!--[endif]-->Strong communication skills
<!--[if !supportLists]-->· <!--[endif]-->Financial / quantitative undergraduate or post graduate degree
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