Associate – Market Risk

Associate – Market Risk

Requirements

• Bachelor’s Degree or equivalent work experience: Business, Finance, Management, or equivalent field.
• 5+ Years Market Risk Management/Product Control including proven experience in the calculation of Fair & Additional Valuation Adjustments (FVAs & AVAs) under Market Price Uncertainty (MPU) and Close-out-Cost (CoC) concepts.
• Good understanding of financial markets, market data, and valuation methodologies for financial products including Mortgage backed securities, Rates, fixed income, Equities, Credit, Convertibles, etc.
• Strong skills in Excel and Python required; SQL, VBA skills a plus.
• Numerically proficient with robust analytical skills.
• Understanding of statistical methods for data analysis, especially in identifying outliers and clustering data.
• Familiarity with external vendor tools such as Murex and Bloomberg beneficial.
• Knowledge of Fair Valuation regulations, particularly IFRS-13.
• Ability to independently operate in a complex, matrixed environment; adept at delivering and maintaining productive working relationships across business, functions, geographies and lines of defense.
• Ability to handle conflict resolution with other groups to ensure appropriate accounting guidance is followed.
• Ability to adjust to new developments/changing circumstances.
• Ability to convey a sense of urgency and drive issues/projects to closure.
• Ability to effectively interact with the market, executive management and vendors.
• Ability to adapt and adjust to multiple demands and competing priorities.
• Excellent written and oral communication skills.
• Strong analytical, organizational and project management skills.

Responsibilities

• Perform bi-weekly IPV to contrast market data inputs and prices used in official valuation vs. alternative market sources (including collateral valuations).
• Analyze, review and control alternative price sources used in IPV to ensure input consistency.
• Perform bi-weekly FVA calculations and quarterly AVA calculations and certify accuracy and adequacy of results.
• Identify inconsistencies in IPV/FVA/AVA and liaise with stakeholders to resolve/escalate the issue.
• Support the design & implementation of new risk factors to ensure adequate observability and consistency with market practices.
• Daily review of levelling reports, to identify Level 3 assets and ensure Day-1 P&L provisioning with P&L team.
• Monitor, maintain and generate reports on risk factor observability and asset levelling from internal systems/tools.
• Oversee and ensure the development and implementation of short-term projects.
• Organize and implement upgrades in risk system with the support teams and Methodology.
• Monitor and manage risk/exposure and compliance with the company’s policies.

Preferred Qualifications

• Master’s degree in Financial Mathematics, Financial Engineering, Data Science, or related field is beneficial.
• Spanish language proficiency is a plus.