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Market Risk Analytics Specialist

  • ... White Plains, New York, United States
  • ... Full time
  • ... Salary: 209000 per year
  • Posted on: Mar 17, 2024       Expires on: May 01, 2024

Market Risk Analytics Specialist   

JOB TITLE:

Market Risk Analytics Specialist

JOB TYPE:

Full-time

JOB LOCATION:

White Plains New York United States

JOB DESCRIPTION:

Full job description

SMBC Group is a top-tier global financial group.
Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance.
The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries.
Sumitomo Mitsui Financial Group, Inc.
(SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan.
SMFGs shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.


In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru.
Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients.
It connects a diverse client base to local markets and the organizations extensive global network.
The Groups operating companies in the Americas include Sumitomo Mitsui Banking Corp.
(SMBC), SMBC Nikko Securities America, Inc.
, SMBC Capital Markets, Inc.
, SMBC Rail Services LLC, Manufacturers Bank, JRI America, Inc.
, SMBC Leasing and Finance, Inc.
, Banco Sumitomo Mitsui Brasileiro S.
A.
, and Sumitomo Mitsui Finance and Leasing Co.
, Ltd.


The anticipated salary range for this role is between $188,000.
00 and $209,000.
00.
The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire.
The role may also be eligible for an annual discretionary incentive award.
In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.


Role Description

The Market Risk Analytics Specialist reports to the Head of the Market Risk Analytics Group.
The role's two primary function are (1) to develop and maintain IM model (SIMM) and FRTB Standardized Approach (FRTB SA), and (2) to oversee the processes of SIMM and FRTB SA model development, model performance monitoring, model validation, model audit, and regulatory model reviews.

Role Objectives

  • Maintain the firms IM model (SIMM) and enhance its implementation and ongoing monitoring if needed to bring them to the best industry practice
  • Develop and implement the firms FRTB SA
    • Develop and finalize the requirements for Technology teams to implement in the systems
    • Build tools to replicate related calculations
  • Design the ongoing performance monitoring procedures to effectively monitor FRTB SA, including but not limited to the following
    • Various benchmarking approaches
    • Monitoring of sensitivity transformations
    • Monitoring of curvature calculation
    • Assess risk not in FRTB SA
  • Oversee IM model and FRTB SA development, model performance monitoring, model validation, model audit, and regulatory model reviews
    • Ensure the model implementation is accurate
    • Control the quality of model testing/monitoring reports
    • Remediate the identified model issues by internal/external parties
    • Prepare materials/evidence to support model audit and regulatory model reviews

Qualifications and Skills

  • Over 7 years of specialized experience in sell-side derivatives risk management or quantitative modelling role
  • Master's Degree required (MA / MS / MBA) in Finance, Mathematics, Physics, Engineering, Computer Science or related quantitative field.
    PhD Degree preferred
  • Strong knowledge of derivatives and their key risks, particularly Interest Rates, FX and Credit products.
  • Familiarity with relevant risk concepts and related valuation concepts (e.
    g.
    VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches).
  • Strong understanding of Python and Microsoft Office Suite required.
    A plus: C/C++/C#, Java or other object-oriented development languages.
  • Strong reasoning ability; understands complex situations, people and systems needs against backdrop of managing a risk management environment.
  • Strong analytical skills; great attention to detail.
  • Strong project management skills; ability to work independently.
  • Ability to implement new risk controls and processes including technology infrastructure in support of risk management framework.
  • Expert communication and presentation skills.
  • Expert ability to work collaboratively with internal risk management colleagues and risk management leaders across all subsidiaries and globally.
  • Understanding of regulatory requirements of model risk, and experience complying with such requirements.

Additional Requirements

D&I Commitment

Responsible for fostering a culture of diversity and inclusion, holding leaders accountable for creating an inclusive environment through awareness and practice of equity in recruiting, developing, and promoting diverse talent.

SMBCs employees participate in a hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office.
SMBC requires that employees live within a reasonable commuting distance of their office location.
Prospective candidates will learn more about their specific hybrid work schedule during their interview process.


We are an equal employment opportunity employer.
All qualified applicants will receive consideration for employment without regard to race, color, religion, gender, national origin, disability status, protected veteran status or any other characteristic protected by law.
SMBC provides reasonable accommodations for employees and applicants with disabilities consistent with applicable law.
If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.
com.

Position Details

POSTED:

Mar 17, 2024

EMPLOYMENT:

Full-time

SALARY:

209000 per year

SNAPRECRUIT ID:

S-1710829885-92d0fc61db1624dbdf15830aea30c018

LOCATION:

New York United States

CITY:

White Plains

Job Origin:

jpick2

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Full job description

SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFGs shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.


In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organizations extensive global network. The Groups operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC Rail Services LLC, Manufacturers Bank, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.


The anticipated salary range for this role is between $188,000.00 and $209,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.


Role Description

The Market Risk Analytics Specialist reports to the Head of the Market Risk Analytics Group. The role's two primary function are (1) to develop and maintain IM model (SIMM) and FRTB Standardized Approach (FRTB SA), and (2) to oversee the processes of SIMM and FRTB SA model development, model performance monitoring, model validation, model audit, and regulatory model reviews.

Role Objectives

  • Maintain the firms IM model (SIMM) and enhance its implementation and ongoing monitoring if needed to bring them to the best industry practice
  • Develop and implement the firms FRTB SA
    • Develop and finalize the requirements for Technology teams to implement in the systems
    • Build tools to replicate related calculations
  • Design the ongoing performance monitoring procedures to effectively monitor FRTB SA, including but not limited to the following
    • Various benchmarking approaches
    • Monitoring of sensitivity transformations
    • Monitoring of curvature calculation
    • Assess risk not in FRTB SA
  • Oversee IM model and FRTB SA development, model performance monitoring, model validation, model audit, and regulatory model reviews
    • Ensure the model implementation is accurate
    • Control the quality of model testing/monitoring reports
    • Remediate the identified model issues by internal/external parties
    • Prepare materials/evidence to support model audit and regulatory model reviews

Qualifications and Skills

  • Over 7 years of specialized experience in sell-side derivatives risk management or quantitative modelling role
  • Master's Degree required (MA / MS / MBA) in Finance, Mathematics, Physics, Engineering, Computer Science or related quantitative field. PhD Degree preferred
  • Strong knowledge of derivatives and their key risks, particularly Interest Rates, FX and Credit products.
  • Familiarity with relevant risk concepts and related valuation concepts (e.g. VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches).
  • Strong understanding of Python and Microsoft Office Suite required. A plus: C/C++/C#, Java or other object-oriented development languages.
  • Strong reasoning ability; understands complex situations, people and systems needs against backdrop of managing a risk management environment.
  • Strong analytical skills; great attention to detail.
  • Strong project management skills; ability to work independently.
  • Ability to implement new risk controls and processes including technology infrastructure in support of risk management framework.
  • Expert communication and presentation skills.
  • Expert ability to work collaboratively with internal risk management colleagues and risk management leaders across all subsidiaries and globally.
  • Understanding of regulatory requirements of model risk, and experience complying with such requirements.

Additional Requirements

D&I Commitment

Responsible for fostering a culture of diversity and inclusion, holding leaders accountable for creating an inclusive environment through awareness and practice of equity in recruiting, developing, and promoting diverse talent.

SMBCs employees participate in a hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process.


We are an equal employment opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, gender, national origin, disability status, protected veteran status or any other characteristic protected by law. SMBC provides reasonable accommodations for employees and applicants with disabilities consistent with applicable law. If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.com.

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