SMBC Group

Returning Candidate?

VP, Market Risk Management - SMBC Capital Markets, Inc.

VP, Market Risk Management - SMBC Capital Markets, Inc.

Job Locations 
US-NY-New York
Career Category 
Risk Management
Position ID 
2017-0644
Corporate Title 
VP
Posting Date 
11/1/2017
Type 
Full-Time

More information about this job

Overview

SMBC Capital Markets, Inc. (CM) is a derivatives trading company since 1988 based in New York City, with offices in London and Hong Kong. SMBC CM is an established derivatives dealer with a broad product portfolio, with specific emphasis on interest rates and foreign exchange products such as interest & FX swaps, FRAs, options, exotic products, commodity derivatives as well as exchange traded products such as treasury bonds, interest rate futures & options, currency futures, treasury futures & options, etc.

CM is searching for a candidate to serve as Derivative Products Market Risk Management Specialist. The Market Risk Management Specialist will participate in various aspects of risk oversight and analysis for CM, with an emphasis on quantitative market risk, credit risk, and liquidity risk issues. The position is on the trading floor and the work environment is fast paced. The person will have direct contact with front office (traders and marketers). Communication of this activity both internally (e.g. by setting risk policies and internal reporting) and externally (particularly to satisfy regulatory requirements) will be a key aspect of this role.

The position will not have any direct reports at this time. The role is expected to collaborate with the entire Risk Management Group which includes market risk, counterparty credit risk, model risk, operational risk and regulatory risk functions, as well as liaise with other groups within CM. Therefore it is essential the candidate a team player with great communication skills.

 

Responsibilities

- Risk analysis and monitoring of trading activity on a daily basis for market, credit and liquidity risk management.
- Develop and maintain inventory of risk analytics tools and risk models such as scenario analysis tools, stress testing tools, FRTB, Initial Margin Models, etc.
- Understand market risk and capital related regulatory requirements such as Basel III and FRTB
- Work closely with Model Risk group to produce model development packages and secure model approvals for risk models. 
- Work closely with front office to assess trading capability of new products and business strategy.

- Work with front office to establish and review risk appetite framework and business strategy to achieve revenue target and new business growth. 

 

Qualifications

Preferred Previous Work Experience:
- 5-8 years of experience in derivative risk or closely risk-related position (risk management, trading, model risk management, etc.), preferably within the capital markets space.

- Understanding and analyzing market, counterparty credit and liquidity risk metrics.
- Developing, producing and analyzing risk reports and dashboards.
- Developing and maintaining risk models and risk analytic tools.
- Compliance to regulatory requirements such as FRTB, Uncleared Margin Rule, SA-CCR, etc.
- Model development within SR 11-07 model risk governance.
 
Preferred Education/Licenses/Certifications/Registrations: 
- Advanced degree in finance, mathematics, engineering, computer science or related quantitative field, or equivalent training.

 

Required Skills, Knowledge, Abilities and/or Training:

- Knowledge of derivatives and their key risks, particularly interest rate and FX products.
- Knowledge of pricing, risk and capital models.
- Knowledge of risk management framework (e.g. Regulatory Capital, VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches)
- Proficient programming skills to develop risk models and tools in C++, C#, Python and VBA.
- Familiarity with risk management framework for various valuation adjustments’ risk in derivatives (e.g. CVA, DVA, FVA, CTDVA, KVA and IM).
- Good analytical and critical thinking skills.
- Good communication skills and the ability to work on teams.
- Ability to coordinate with internal departments and drive projects
- Excellent verbal and written communication skills
- PhD, CFA, or FRM preferred.

 

#LI-PRI