Reference #: W5371
Support the portfolio management team of a prestigious fund.
- Daily reporting and monitoring of market risk positions and limits – with the aim to identify material risk exposures and concentrations.
- Monitor risk exposures, understand the factors that drive the risk and P&L on the books, follow market movement/activities affecting positions, highlight and discuss risk changes and top risks
- Assist in pre-trade review of major transactions
- Conduct ad hoc risk analysis, develop improvements of daily risk reports, and VaR and Stress analysis tools
- Improve risk transparency, methodologies and reports by conducting deep-dives on various basis risks, curve risks, forward default risks, etc.
- Perform Scenario analysis and stress testing.
- Respond to urgent ad-hoc requests from senior management
- 3-5 years’ experience within derivatives trade support, model validation/pricing or risk management
- Strong technical knowledge of derivatives pricing, risk explain, and trading strategies, specifically covering equity products
- Must have thorough knowledge of factor analysis, PCA, and related statistical measures
- Proficiency in programming in Python, Perl, Excel/VBA, C++ and/or Matlab.
- Knowledge of risk methodologies, spreadsheet creation, stress testing and the ability to work independently are critical
- Desire to work in a dynamic, demanding environment.
- Bachelors / Masters degree in Financial Engineering, Mathematics, Physics, Engineering, etc. within a top tier institution with excellent performance