Location: New York, NY, United States

DESCRIPTION:

Duties: Set and monitor the risk limits in accordance with the risk appetite of the Firm and manage discussions with trading and senior management regarding any action to be taken. Present and lead discussions with trading and senior management during regional and global meetings to highlight concentrated or concerning risk positions to ensure appropriate transparency and reporting and recommend risk mitigants (new limits, hedging, etc). Review large and exceptional transactions, particularly those that exceed the pre-trade guidelines, to evaluate the risk/reward profile and resultantly recommend to approve/ reject/ approve with condition. Perform stress-testing for the business unit, including Firm-wide Stress Initiative (FSI), Federal Reserve's Comprehensive Capital Analysis & Review (CCAR), and additional ad-hoc scenarios, as well as participate in regulatory exams with regulators such as the Federal Reserve, OCC, FINRA, or SEC with tasks such as the Comprehensive Capital Analysis and Review (CCAR) and other regulatory asks. Perform in-depth research and analysis ('Deep dive') into complex or emerging risk situations to improve understanding of risks, recommend new ways of approaching and representing risks, and recommend risk mitigation strategies.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Financial Mathematics, Computational Finance, Engineering (any), Mathematics, Economics, or Statistics or related field of study plus 3 years (36 months) of experience in the job offered or as Market Risk, Distribution Risk and Hedging Analytics, Counterparty Risk Management Analyst or related occupation. The employer will alternatively accept a Bachelor's degree in Financial Engineering, Financial Mathematics, Computational Finance, Engineering (any), Mathematics, Economics, or Statistics or related field of study plus 5 years (60 months) of experience in the job offered or as Market Risk, Distribution Risk and Hedging Analytics, Counterparty Risk Management Analyst or related occupation.

Skills Required: This position requires one (1) year of experience with the following: Financial markets and macroeconomics in order to evaluate market conditions in relation to liquidity and execution of hedging strategies; Experience with financial derivatives market dynamic and complex volatility related environment; Python coding and python libraries in numerical computing and statistical analysis to generate risk dashboards and test various risk metrics/stress scenarios and related risk limit framework; Quantitative/Mathematics skills including Monte Carlo simulations, Stochastic Calculus, Time series models, and VaR models to understand complex and structured payoffs (such as basket options, varswaps, volswaps, autocalls, or cliquets); Analyzing product risks and challenging trading decisions and pricing models (including models such as local volatility model, stochastic volatility model, crash/gap risks, or SSR); Pricing and modeling of risk metrics, P&L attributions, and stress simulations; Prada based MS Access databases; Bloomberg terminal and its functions; Coding abilities on various engines including visual studios, Jupyter notebook, MySQL, and Microsoft Visual Basic; Advanced functions like performing statistical analysis using methods including linear regression and multivariate regression; and Regulatory tasks including Comprehensive Capital Analysis and Review (CCAR) as well as ad hoc requests from Regulatory organizations including the Federal Reserve, Office of the Comptroller of the Currency (OCC), FINRA, and SEC.  

Job Location: 270 Park Ave, New York, NY 10017.  

Full-Time. Salary: $188,178.00-$215,000.00 per year.