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    Market Risk Analytics Specialist - New York, United States - SMBC Group

    SMBC Group
    SMBC Group New York, United States

    1 day ago

    Default job background
    Full time
    Description

    The anticipated salary range for this role is between $188,000.00 and $209, The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.

    Role Description

    The Market Risk Analytics Specialist reports to the Head of the Market Risk Analytics Group. The role's two primary function are (1) to develop and maintain VaR/SVaR model and other capital-related market risk models/tools, and (2) to oversee the processes of capital-related model development, model performance monitoring, model validation, model audit, and regulatory model reviews.

    Role Objectives

  • Research on the conceptual soundness of the capital-related market risk models, including VaR/SVaR and FRTB Scenario simulation choices (e.g. parametric, historical, Monte-Carlo) PnL generation choices (e.g. sensitivity-based, partial-reval, full-reval) Historical data filling/proxy RNiV analysis
  • Maintain the firm's market risk models and enhance them if needed to bring them to the best industry practice
  • Design the ongoing performance monitoring procedures to effectively monitor the market risk models' limitations, including but not limited to the following Various benchmarking approaches Stress period selection/calibration RNiV quantification PnL attribution Historical data quality
  • Oversee capital-related model development, model performance monitoring, model validation, model audit, and regulatory model reviews Ensure the model implementation is accurate Control the quality of model testing/monitoring reports Remediate the identified model issues by internal/external parties Prepare materials/evidence to support model audit and regulatory model reviews

    • Qualifications and Skills

  • Over 7 years of specialized experience in sell-side derivatives risk management or quantitative modelling role
  • Master's Degree required (MA / MS / MBA) in Finance, Mathematics, Physics, Engineering, Computer Science or related quantitative field. PhD Degree preferred
  • Strong knowledge of derivatives and their key risks, particularly Interest Rates, FX and Credit products.
  • Familiarity with relevant risk concepts and related valuation concepts (e.g. VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches).
  • Strong understanding of Python and Microsoft Office Suite required. A plus: C/C++/C#, Java or other object-oriented development languages.
  • Strong reasoning ability; understands complex situations, people and systems needs against backdrop of managing a risk management environment.
  • Strong analytical skills; great attention to detail.
  • Strong project management skills; ability to work independently.
  • Ability to implement new risk controls and processes including technology infrastructure in support of risk management framework.
  • Expert communication and presentation skills.
  • Expert ability to work collaboratively with internal risk management colleagues and risk management leaders across all subsidiaries and globally.
  • Understanding of regulatory requirements of model risk, and experience complying with such requirements.
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