Etar Analytics Manager

Description

Summary:

The ETAR Analytics Manager, part of the corporate Enterprise Trading Analytics and Reporting team, drives development as a subject matter expert in all aspects of market risk and counterparty risk measurement, model development, in-depth analysis, internal and regulatory risk reporting, stress testing, and model ongoing monitoring in a strong team-oriented working environment.

Duties and Responsibilities:

• Calypso and/or other OTC trading systems

• Development and implementation of market and counterparty credit risk measurement models, P/L analysis, and model monitoring and documentation to support Capital Markets activities

• Development and production of enhanced risk and P/L reporting capabilities to support derivatives and securities business lines

• Production of committee presentation materials and regulatory market risk disclosures.

• Execution of ongoing monitoring results in alignment with internal and supervisory market risk management and model risk management expectations.

• Enhancement of front office system and ad hoc analytics capabilities, including research and analysis in order to adequately measure residual market risks in FX, commodity, interest rate derivative, mortgage-backed security and fixed income portfolios.

• Performs other duties as assigned.

Basic Qualifications:

• Bachelor's Degree

• 5 or more years experience of Capital Market Analytics

Preferred Qualifications:

• Master's Degree

• Experience with Calypso and other OTC trading systems

• Strong understanding of VaR, stressed VaR, modeling and regulatory capital framework with deep knowledge of quantitative correlation modeling techniques

• Significant knowledge of various capital market trading instruments

• Capital market risk quantitative expertise

#LI-Hybrid

Exempt Status: (Yes = not eligible for overtime pay) (No = eligible for overtime pay)

Yes

Workplace Type:

Hybrid

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