Analyst/Associate - IBD Risk Strats - BFS

Key Responsibilities :

- Model development, maintenance and enhancement

- Financial models used to price loans, bonds and other bespoke products relevant to IBD are owned by IBD risk strats

- Strats responsible for upgrading existing models, to better comply with validation requirements

- Strats work with risk managers to assist in guiding business on how best to book new trades - choice of model, choice of features given deal economics
 
Business selection :

- Maintain/enhance the Return on Attributed Equity (ROAE) modelling framework used for business selection

- Understand and model revenue and capital implications of deals

Reporting risk :

- Calculating and reporting risk metrics to management - backward and forward looking views

- Creating/maintaining existing automated risk infrastructure used for daily/weekly/monthly risk reports

- Understand and explain changes in risk as requested by risk managers within IBD as well as by market risk managers

- Support businesses with their risk related needs

- Provide data analytics, model generation as requested by risk managers

- Support desks like CLO (warehousing), CRE (real estate)

- Support regulatory requirements

- Design and report PnL and balance sheet for FED and other regulators

- Provide budgetary and league table support to IBD Management/Strategy teams

Requirements :

- Strong academic background in a relevant STEM field - Computer Science, Engineering, Physics or Mathematics. MBA from a premier institute is a plus

- Expertise in aspects of quantitative analysis related to finance, e.g. statistics, stochastic calculus, econometrics, financial modeling

- Solid background in computer programming, Python, C++, Java, Matlab or equivalent language, preferably in financial or technical computations

- Excellent communication skills, experience speaking to technical and business audiences and working in a global team

Preferred Qualifications :

- 2+ years of risk management experience (model development or validation)

- Understanding of risk metrics like VaR, CSW, GMS, PE etc.

- Understanding of basic pricing models - black scholes, calibration etc.

- Awareness of capital requirement frameworks like Basel, SLR

- Awareness of federal stress tests like CCAR/DFAST