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XVA BAU Risk Reporting Specialist:
Ref No.: 17-20403
Location: New York, New York
Responsibilities
  • Thorough analysis of Market & Credit Risk and delivery of timely & accurate Risk reporting on a daily basis
  • Analyze drivers and trends of risk using risk-based explain, exposure analytics, model changes, etc
  • Identify and escalate risk issues for tactical or strategic remediation with FO, Quants/Strats and Technology
  • Communicate daily with XVA Front Office and control partners such as Market Risk and Finance
  • Identify issues and control gaps on an ongoing basis within the XVA Risk and P&L infrastructure
  • Work with technology partners to streamline the processes and enhance data integrity and control
  • Enable delivery of strategic risk solutions such as migrations to Capstone and migrations on to Quartz strategic solutions such as CPRT
  • Liaise with Technology and other QMO functions to help drive successful implementations
Required Skills:
  • Undergraduate degree in Math, Science or Finance is ideal (Advanced degree in Quantitative Finance or Math desired)
  • Knowledge and/or experience of derivative products across asset classes in capital markets: e.g. Futures, Options, Indexes, CDS, CDO, FRAs, SWAPs, SWAPTIONs, CAPs/FLOORs, etc. across Rates, FX, Equities, Commodities, etc.
  • Familiarity with XVA concepts such as CVA or FVA is a plus
  • Strong understanding of derivative risk sensitivities, both first order and higher order
  • Strong system skills including experience using Excel/Access to a high-level and working knowledge of SQL/VBA is ideal. (Desired: Python)
  • Strong understanding of trade life cycle with good appreciation of operational risks and mitigating control activities.
  • Ability to develop a good understanding of the systems, their interconnectivity and the broader end-to-end risk data flow
  • Strong analytical and problem-solving skills
  • Demonstrated interest in and good understanding of the markets including the key drivers, pricing issues, and trader's hedging strategies
  • Ability to have in-depth discussion with Front Office stakeholders with regards to trading activity and drivers of the portfolio trade valuation movements
  • 3 to 6 years' experience in a Risk and/or Valuations / Middle Office environment
  • Strong communication & negotiation skills with confidence to work with multiple businesses & groups
  • Self-starter able to deliver results in a complex environment
  • Logical approach to problem solving
  • Control mindset able to identify and deliver process improvements
More Information About the Job
Are you open to sponsorship?
No

Is there a possibility to work remote?
No

Is there equity?
No

Are there flexible work hours?
No

Does this position have direct reports?
No

Who does this position report to?
Please provide the candidate's current compensation (base + bonus) and work sponsorship needs (type and years remaining).