SMBC Group

  • Portfolio Analysis Group - Market Risk Analyst/Associate

    Job Locations US-NY-New York
    Posting Date 1 month ago(11/6/2018 10:57 AM)
    Career Category
    Capital Markets
    Position ID
    2018-0643
    Corporate Title
    Associate
    Type
    Full-Time
  • Overview

    SMBC Capital Markets 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.

    SMBC’s Capital Markets is looking for a Market Risk Analyst or Associate to work in our Portfolio Analysis Department. The position is on the trading floor and the work environment is fast-paced. The Analyst or Associate will have direct contact with the Front Office (traders and marketers) and the Settlements team. Training will be done primarily on the job.

    The Portfolio Analysis Group works on the following products: OTC 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. They trade in all major currencies: USD, EUR, JPY, GBP, CAD, etc.

    Responsibilities

    • Collect and mark rate curves, volatilities, exchange traded product prices and bond prices in all currencies.
    • Daily valuation of derivatives portfolio and accurate reporting of Greeks and P&L for General Ledger purposes and also to traders and senior management.
    • Risk analysis and monitoring of trading activity on a daily basis.
    • XVA pricing and analysis.
    • Work with and analyze VAR calculation models, stress testing process and other daily processes.
    • Handle other quant and non-quant regular and ad-hoc projects, working closely with Traders, Marketing, Settlements, Accounting, Research and Senior Management.
    • Work with middle and back office groups to resolve any portfolio discrepancies and making improvements to daily processes.
    • This is a challenging Middle Office type of role, and we are looking for a motivated candidate who will be able to contribute from Day 1.

    Qualifications

    • Analyst-level: A very good fundamental knowledge in derivatives (mainly interest rate swaps), preferably with 1-2 years of Financial industry experience/internships.
    • Associate-level: 3-5 years of derivatives experience in a Market Risk/pricing or similar position in the Financial industry.
    • Bachelor's Degree in Quantitative Finance/Computation, Finance/Math Finance, or a closely related field in Math/Engineering/Science. A combination of Finance and Mathematics would be ideal. A Master’s Degree in these areas would be strongly preferred.
    • Strong communication and analytical skills.
    • Strong multi-tasking skills with the ability to work on several projects/issues at one time.
    • Good programming skills in Excel VBA and any other programming language like C++ or Python etc.

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