Vice President - Market Risk Methodology - BFSI

- Market Risk Management continues to drive forward with the objective of becoming an industry leading function in its field. One part of the journey to the target operating model is the evolution of the Market Risk Analysis (MRA) function.

- MRA sits alongside colleagues in Market Risk Management, Market Risk Methodology and Market Risk Control and delivers high quality and in depth analysis of all the risk metrics produced.

- This involves strong understanding of the methodologies underlying VaR, SVaR, IRC, CRM, Stress Testing and the commensurate Regulatory and Economic Capital calculations, coupled with an ability to cross reference the raw positions to analyse and explain the relationship between model input and output.

- Knowledge of these metrics is critical to understanding how new regulations, e.g. FRTB, will be interpreted and implemented.

Key Responsibilities :

- Lead and manage a team of 4-7 people (further growth possible)

- Hire and train staff

- Responsible for staff development

Deliverables include :

- Analysis and explains of VaR, SVaR, IRC, CRM, limit breaches, VaR back testing, RWA and EC

- Stress Testing analysis, explain and production

- Drafting analyses to respond to Regulatory requests, including adherence to global Volcker requirements

- Ad hoc (What-if ) analyses e.g. RWA impact of new trades

- RWA - Flight Path analysis and estimates

- Numerical impact analyses of methodology enhancements

- Significant focus will be needed on the incoming regulatory changes according to FRTB

- Contribute to the strategy for enhancing DB Risk architecture

- Contribute to methodological enhancements

- Ensure complete and accurate implementation of models

The successful candidate will have :

- A graduate and/or post graduate degree in quantitative finance, mathematics, physics, engineering or a similar field of study

- Strong quantitative skills including financial risk models and derivative pricing theories

- Solid experience in using large datasets and applying market risk methodologies across different product/asset classes

- A high level of understanding of VaR methodologies is critical, both Monte Carlo and Historical Simulation

- Strong financial market and product knowledge, including derivatives, across all asset classes

- High professional and ethical standards

- A 'can-do' attitude and a delivery focus

- Several years of experience in a banking or consulting environment