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Vice President - Market Risk Manager, Model Validation Quant

Location: Chicago, United States

The Role

The Market Risk Manager, Model Validation Quant – Vice President, is expected to identify, design and implement solutions which will increase control and consistency, and simplify processes.  This position plays a critical role in the global oversight of our OTC Commodities Market Risk.  The OTC Market Risk Manager will communicate directly with Senior Management and be responsible for ensuring there is effective risk management procedures across complex exotic structured derivative portfolios. 

We defines Market Risk as ‘The risk of loss that arises from fluctuations’ in values of, or income from, assets and liabilities as result of movement in the marketplace”.  The responsibilities of the Market Risk Department relating to Market Risk are similar to those relating to exposures arising from client and counterparty positions and include:

• Developing policies and procedures to assess and evaluate complex portfolio risk
• Risk identification and exposure measurement
• Monitoring and Reporting
• Pricing and valuation methodologies

Responsibilities

• Contribute to the model risk assessment by performing in-depth methodology reviews and certifications and by defending the results in committee. Advise management on the level of model risk and on the actions to be taken.
• Contribute to the governance and control framework by following the model risk evolution, by looking at potential emergence of model risk and by raising alarm when necessary, by organizing and participating in committees, quality circles, and by pro-actively reporting to management and project management teams any issues.
• Perform quantitative and qualitative reviews of Risk models and margining methodology.
• Work with relevant parties to identify and quantify both market and non-market risks.
• Establish and maintain the framework and governance of validation of inputs to valuation.
• Identify and implement opportunities to improve Risk processes and outputs to drive efficiency, value and control improvements.
• Interact with Traders, Senior Management Developing, implementing and monitoring key risk indicators.
• Collaborate with Front Office and Risk teams in review and analysis of portfolio valuations including price curve construction and validation.


Skills & Qualifications


• Experience with the valuation of complex exotic option trading portfolios.
• Masters or PhD in financial mathematics of other quantitative discipline.
• Knowledge of Capital Markets: how the markets operate, what the products are, what the main risk drivers are, how the financial instruments and derivatives are revalued, and what the shortcomings of the industry standards are.
• Familiarity with market risk modelling techniques and regulatory requirements.
• Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.
• Experience with model validation techniques and processes.
• Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field.
• Experience in object oriented programming.
• Ability to challenge the proposed methodologies and to provide alternative solutions.
• Validation skills to valorize new ideas, both supportive and critical, and to examine problems from several different points of view.
• Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources.
• Eagerness to take ownership of projects and be autonomous in finding out the next steps.
• Good communication skills in English to convey clearly his/her ideas in front of various audiences, and concise writing skills.
• Networking skills to get access to the information, proactively building relationships with traders, developers and risk analysts.

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