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Market Value Risk Analysis & Marker Risk Modeling Senior Associate

Market Value Risk Analysis & Marker Risk Modeling Senior Associate

  • Location

    San Francisco, United States

  • Sector:

    Risk Management

  • Job type:

    Permanent

  • Contact:

    Margarita Romero

  • Contact email:

    margarita.romero@jcwresourcing.com

  • Job ref:

    59101

  • Published:

    3 months ago

  • Expiry date:

    2020-09-30

  • Consultant:

    #

JCW is currently working on a search for Sr Associate. The ideal candidate will join a wholesale bank in San Francisco. The Market Risk Management team serves as an oversight function to the 1LOD, responsible for identifying and quantifying the market risk embedded in the Bank’s portfolio. In addition, they are responsible for the Bank’s corporate financial forecasts and the Bank’s retained earnings analysis. This position will manage the Bank’s market risk models for both market value and income simulation analysis.

The role of Senior Associate, Market Value Risk Analysis and Market Risk Modeling will reside within the Risk Division under the Chief Risk Officer (CRO) of the Bank. Market Risk Management (MRM) serves as an oversight function to the “first line of defense”. MRM is responsible for identifying and quantifying the market risk embedded in the Bank’s portfolio. MRM is also responsible for the Bank’s corporate financial forecasts and the Bank’s retained earnings analysis. This position will be responsible for preparing and reviewing the Bank’s market value risk analytics.

Major Accountabilities:

  • Responsible for the market risk identification, quantification, monitoring and reporting for market value analytics.
  • Responsible for assisting in the development and presentation of concise business oriented analysis for various Bank Committees, the Board of Directors and other external parties.
  • Responsible for developing, maintaining, and enhancing the Bank’s market value risk procedures and controls.
  • Perform ad hoc risk management-oriented analyses, as necessary.
  • Responsible for assisting in the development of alternative risk modeling tools, as appropriate.
  • Responsible for assisting in the development and enhancement of the Bank’s MBS and mortgage loan prepayment models for market value analytics and income simulation

Management:

  • The Senior Associate of Market Risk Analysis & Market Risk Modeling will be one of seven team members whose primary goal is to provide effective oversite of the Bank’s market risk exposure and development of the Bank’s financial forecasts.
  • The Senior Associate of Market Risk Analysis & Market Risk Modeling will report to the Managing Director of Market Value Risk Analysis & Market Risk Modeling.

Skills/Knowledge:

  • Undergraduate college degree in a technical field of Math, Finance, or Economics is REQUIRED, Graduate Degree, is a plus.
  • A minimum of four years of quantitative analytical experience, preferably in a financial institution or other highly-regulated environment.
  • Understanding of market risk management concepts, measurement approaches and risk management practices. Understanding of the role of market risk management within a financial intermediary. Understanding of balance sheet and capital structure.
  • Understanding of fixed income capital markets, MBS analytics, and associated pricing and valuation methods.
  • Demonstrated knowledge of and experience using analytic systems and models to measure risk. Experience with QRM, AFT, and Polypaths desirable.
  • Work history should demonstrate strong attention to detail and the ability to work within cross-functional teams and manage projects under tight deadlines.
  • Detail oriented with exceptional organizational skills.
  • Working knowledge of MS Office Suite, with specific emphasis on Excel and working knowledge of VBA, Access, and SQL.
  • Strong analytical thinking and problem-solving abilities.
  • Strong verbal and written communication skills.
  • Self-motivator and team player who brings a “can-do” attitude.

Critical Competencies:

  • Excellent interpersonal skills to work in a team centered environment.
  • Self-motivated.
  • Strong communication skills, both written and verbal.