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Assistant / Associate Director – Market Risk
Ref No.: 18-01974
Location: New York, New York
Position Type:Full Time
Pay Rate : $ 110,000.00 - 135,000.00 /Year
Opportunity
Our client is looking for a highly motivated and dedicated individual for its Risk Management Services practice in New York, US. We are looking for individuals with a strong quantitative aptitude, along with valuation & market risk modelling experience.

Role
Assistant / Associate Director – Market Risk

Responsibilities
  • Lead market risk, pricing quant, ALM modelling teams in delivering various analytical projects & teams
  • Develop and validate various risk models and in stress testing them
  • Understand regulatory guidelines and advise clients on their implementation – Basel II.5, FRTB, IRRBB, MRR
  • Testing and/or validating pricing and market risk vendor models like Blackrock, MSCI, Markit, Sungard APT
  • Pricing model development and/ or market risk model development/validation, enabling a clear understanding of the modelling skills required for regulatory risk calculations viz. VaR, IRC/ DRC, RNIV, behavior models/ NMD models
  • Assist sales with business development in US region
  • Build strong relationship with clients
  • Hire suitable team members keeping tactical and strategic needs in mind; mentor and train them

Required Background
  • 6-10 years of relevant experience
  • PhD or Post-Graduate Degree in Business/ Statistics/ Mathematics/ Economics/ other quantitative disciplines would be preferred.
  • Worked closely with MRM teams of banks in either validating models, or in vetting model documentation
  • Strong knowledge and experience with financial instruments across asset classes and their pricing methodologies
  • Understanding of broad risk regulatory landscape – development & validation
  • Knowledge of quantitative methods – time series analysis, PDE, stochastic calculus, FDM, numerical methods
  • Strong problem solving and technical skills
  • Programming skills: C++ or Java/ any object oriented language, R, Matlab, Python
  • Strong verbal and written communication skills
  • Certifications such as CQF, FRM and CFA will be a plus