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XVA BAU Risk Reporting Specialist:
Ref No.: 17-20403
Location: New York, New York
  • 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
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