Risk Analyst II

Job Description

 

Essential Functions

Learn and use vendor supplied software (Algorithmics RiskWatch) to generate historical Value at Risk (VaR). Understand limitations of historical VaR.  Candidate should be able to make inferences about the risk profile of trading books and the level of risk for the company as a whole from VaR results, composition of trading portfolios, and market conditions.

 

Use stress testing to complete picture of risk/reward analysis.  Use VaR results with stress test results to draw conclusions about the rewards and risks to each book from the stress tests. Communicate risk profile to management. 

 

Ensure daily VaR is correct and sent within service level agreement for report generation. Monitor risk limits and notify senior management when trading activity exceeds limits. Develop sufficient familiarity with trading systems to troubleshoot problems relating to daily VaR.

 

Maintain and update database to generate historical scenarios. Use data from third party data sources to obtain data for yield curves, equity and commodity prices, volatility, prepayment estimates, etc.

 

Assess market risk in new products. Assist in set-up and parameterization of VaR model for new products.

 

Marginal Functions

Analyze new trading products and services.

 

Assist other Risk Management Group groups in evaluating and reviewing market risk activities.

 

Required Skills

Knowledge of financial markets and products traded financial instruments (bonds, mortgage-backed securities, equities, interest rate swaps, foreign exchange, and indices and options on these instruments). 

 

Masters degree in finance, mathematics, statistics, computer science, or the equivalent.

 

Strong communication skills.

 

Preferred Skills

Experience trading, analyzing or constructing risk portfolios of traded products

 

Equipment Used

Vendor supplied software

 

Training Provided

On the job and seminars

 

Relocation Provided = No 

 

 

 

Process for Applying

Applications are accepted via www.key.com/careers Reference Job Requisition #PS22817 when you apply. KeyCorp is an Equal Opportunity Employer M/F/D/V.