Information:
Job Vacancy Details
Quantitative Market Risk Manager
Investment Banking
Canary Wharf
Temp ⁄ £400 - £450 per day
Updated March 9, 2012
Risk Manager covering Equity Derivatives and Hybrid Derivative product methodologies. The role requires a full understanding of multi-asset derivative structures, market risk factors, and the model parameter inputs. The candidate will develop risk methodologies to quantify risk factors and model parameter risk, for the purpose of reserving and assessing risks not fully captured by the VaR model. The candidate will work with risk management, model validation, financial engineering, and IT staff globally to coordinate risk methodology processes and standardize reporting results.
Risk Factor - Model Parameter Identification
- Identify risk factors used by our pricing models and their impact on our VaR model
- Gain a full understanding of the risks associated with model parameter inputs to our pricing models.
- Identify limitations and caveats contingent on risk factor and parametric inputs to our models
- Identify scenario definitions that highlight cross-risks and model specific risks.
Methodology Development
- Develop risk quantification methodologies for the various market risk factors.
- Develop reserving methodologies for model parameters and associated model risks
- Research and develop bumping methodologies for the vol surface, with a focus on simulating changes to the vol surface over a defined time-series of historical market conditions.
- Derive methodologies that describe changes in vol skew over time and apply these methods to current market conditions to derive expected risk profiles.
- Create methodologies for quantifying cross-risk exposure.
- Work with financial engineering to assess causes and solutions for model errors, including methodologies to predict model errors.
New Product Approval
- Direct involvement in the new product approval process.
- Assessing the impact of new products/models on risk capture.
- Designing verification methodologies on new products to assess:
• Risk factor capture in our various risk models
• Stability of pricing and sensitivities
• Reserving estimation based on model performance relative to market data, model parameters, and risk coverage in the underlying model.
The analyst will also work with Product Control and Model Validation on issues associated with market risk, including a full understanding of pricing model issues and the process of prudent valuation reserving for model risks.
Who we're looking for
• Quantitative undergraduate degree
• Competent knowledge of derivative risk factors.
• Competent knowledge of derivative pricing model framework, including Local Volatility (Dupire) model, Variance curve modeling, and Stochastic Volatility models. Ideally, knowledgeable about multi-asset equity derivatives products.
• Advanced systems skills including Excel/Access with VBA and SQL, potentially experience with R, MatLab, etc. Knowledge of C++ and C# would be a considerable plus.
• Knowledge of VAR and other risk management frameworks
• Market experience (Risk Management, Trading, or Financial Engineering) in Equity Derivatives.
About our client
Top Tier Investment Bank located in Canary Wharf
What's on offer
£400 - £450 per day
Michael Page Contact
For further info, apply or phone on 0207 645 1462.
Job Ref: 13155708
Your application will be sent to Mark Dalton.
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