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Quantitative Counterparty Exposure Risk Specialist
Ref No.: 17-01631
Location: Chicago, Illinois
Position Type:Direct Placement
Start Date: 05/23/2017
Job description

Role Responsibilities:
  • Assist with the testing and validation of risk sensitivities through each technology release
  • Provide enhanced analysis on risk sensitivities to front office and operations teams when new measures or new counterparties on-boarded
  • Review and verify the risk sensitivities that are used for IM computation
  • Assess production risk results for errors
  • Identify and Establish control processes that will mitigate future risk calculation errors
  • Work directly with the front office and technology teams on issues discovered through technology testing and risk review
  • Validate and explain drivers of day over day changes in sensitivities to FO and technology
  • Work with technology teams to guide risk measure reporting and control requirements

Candidates in this role will:
  • Gain strong industry knowledge on the UMR program
  • Apply your analytical skills to solve UMR IM and risk sensitivity valuation issues
  • Deepen your OTC derivative knowledge in asset classes you may not have previous exposure to
  • Join a dedicated team of associates that embraces creative problem solving

Required Skills:
  • Master's degree or higher in Finance, Economics or Quantitative field
  • Excellent communication skills
  • Strong technical skills including experience using Excel, VBA and SQL
  • Strong analytical skills
  • Understanding of Fixed Income and FX modeling
  • Experience working with OTC derivatives
  • Experience pricing OTC derivative products including futures, options, swaps, credit default swaps, forward rate agreements and swaptions
  • Knowledge of Financial Risk Management, Credit Risk Models, Value at Risk (VaR).
  • Strong knowledge of market & credit risk

Desired Skills:
  • Understanding of the collateral management process at large bank
  • Knowledge of CVA, FVA, regulatory capital requirements, and Independent Amount
  • Python programming experience and willing to learn Python
  • 3 years of experience working in a quantitative risk, middle office, or front office role