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 Risk Management Associate. The Derivative Products Risk Management Associate will participate in various aspects of risk oversight and analysis for CM, with an emphasis on model risk and including market risk, credit risk, and liquidity risk issues. The successful candidate will work with the Firm's Model Risk group.
- Conduct independent model validations of CM models
- Develop model governance infrastructure and implement model risk management policies and procedures.
- Understand regulatory mandates and assist in compliance programs.
- Work closely with Product Control and Portfolio Analysis groups in analyzing and monitoring market, credit and liquidity risks.
- Work with the Front Office to establish and review risk appetite framework and business strategy to achieve revenue target and new business growth.
Preferred Previous Work Experience:
- 4-7 years of experience in derivative risk or closely risk-related position, preferably within the capital markets space.
- Master’s degree in finance, mathematics, engineering, computer science or related quantitative field, or its equivalent.
Skills, Abilities and/or Training:
- Ability to coordinate with internal departments and drive projects
- Excellent verbal and written communication skills
- PhD, CFA, or FRM is considered a plus but not required
- 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. Model validation SR11-07, Regulatory Capital, VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches)
- 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.
- The role is expected to collaborate with the entire Risk Management Group, and liaise with other groups within CM. Therefore it is essential the candidate a team player with great communication skills.