Credit risk, Portfolio risk and Risk Analytics leaders w/derivatives b.g. needed

Our client is looking to fill the below three positions.

 

"Portfolio Risk Manager." This person would be responsible for overseeing remote site risk management staff and would also oversee their strategic and tactical risk management projects.  Advanced degrees and 10+ years experience with risk management. Candidate would need to have a good mix of risk management theory and practice, sound operational management and sound quantitative background.  Strong working knowledge of derivatives is essential.

 

"Risk Analytics Leader." This person would be responsible for running the risk management operations, oversea analytical resources, oversee the quant role, and take on strategic and tactical initiatives to improve the analysis performed for Treasury and the businesses, as well as to take on perform bank-style risk analytics.Advanced degrees and 10+ years experience with risk management.  Candidate would need to have a good mix of risk management theory and practice, sound operational management and strong quantitative background.  Strong working knowledge of derivatives is essential.

 

"Credit Risk and Valuations Analyst"

 

Responsibilities

? Run/obtain daily valuations for all derivative products.

? Calculate daily credit exposures for derivatives and monitor excesses to Board policy

? Set up curves/FX rates/volatility surfaces and model settings in production systems to ensure appropriate derivative valuations

? Investigate differences in client vs. Counterparty valuations, identify root causes and fix any issues

? Evaluate sources of change in credit exposure, using advanced risk management techniques

? Work with traders to book complex trades and with businesses on valuation queries/issues

? Work with Treasury and business finance functions to perform analyses and valuations required for FAS 133

? Perform project work for Treasury Risk, including:

? Continue to improve the automation of valuations and exposure calculations

? Lead efforts to increase the % of trades that can be valued in core systems

? Help implement the Treasury Risk Management system, including:  Setting up curves, testing statistical measures and reconciling valuations

 

Background

 

? Bachelors or Masters in finance/quantitative field

? Minimum of 3 years? experience in banking, finance or related field

? Experience with risk, derivatives or deal modeling

? Knowledge of curve creation techniques

? Audit, derivatives operations or middle-office experience

? FRM Certification, and experience with Infinity or Panorama a plus

 

Skills

 

? Well versed in options theory and derivatives valuation techniques

? Great PC skills and attention to detail

? Strong understanding of market dynamics and their effect on risk exposures

? Familiarity with risk management techniques, such as: VaR, PFE, sensitivity analysis, stress testing

? Working knowledge of quantitative and statistical packages (FinCad, NumeriX,, SAS/S+/Minitab, Crystal Ball, and KMV) helpful

? Strong knowledge of Reuters and Bloomberg