| Title: Market Risk Control Manager
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| Location: New York, NY
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| Job Type: Direct Hire
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| Compensation: per Year
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| Reference Code: 941782-AQG
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Description: A world class financial services company seeks a Market risk control manager. The successful candidate will partner with our internal and external clients to ensure the Firm's risk measurement is complete, accurate and timely for Risk Management, Capital and Financial Reporting. The role is within a team covering market and credit risk issues. The candidates will work closely with Traders, Risk managers, Controllers, Operations and other support/control groups both in the Market Risk Department and in the Business Lines.
The primary responsibilities include:
- Monitor VaR model for all dimensions of the trading portfolio, by back testing VaR with economic trading PL and hypothetical PL
- Interact with risk managers, regulatory, risk capital and business units to communicate the VaR model performance
- Partner with Market Risk Research team to analyze VaR model deficiency, identify risk and PL drivers, searching missing or mis-representation of risk exposures and comment on outsized market movements
- Oversee risk proof and control process to ensure risk data is complete and accurately captured in risk systems
- Action ad hoc analysis and data queries
- Improving the control framework by being able to tie out Credit exposure to the books and records and creating daily exception handling of incorrect data
- Working with a cross divisional team to produce a number of financial disclosures for the firm's quarterly reporting
- Liaising with users of counterparty data to determine requirements for new data feeds; management of subsequent data feed creation process and then testing with data providers
- Identification of enhancements required to existing data feeds through the means of root cause analysis
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Requirements: The skills, experience, and education required for this position include the following:
- At least five+ years of relevant experience in finance, risk management or a related field
- A strong understanding of Products (Equity and/or Fixed income) and concepts such as Greek sensitivities are essential
- Need to have P/L attribution experience and back testing
- It is essential that the candidate work independently with initiative in a fast-paced, multi-tasking environment. Analyses must be thoughtful, timely and accurate as the information is used to brief senior management at regular intervals
- A strong desire to learn, to troubleshoot problems and improve complex processes are key
- Strong PC skills in Excel and Access
- SQL is a plus
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