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Vice President, Market Risk Portfolio
Barclays Capital
New York, NY, United States
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Description
Barclays Services Corp. seeks a Vice President, Market Risk Portfolio for its New York, New York location.
Duties: Perform Stress Testing for the Investment Bank Trading Book under Market Risk CCAR Global Market Shock and Internal Stress Tests. Formulate and apply mathematical modeling techniques for stress calculation, create risk reports for exposure monitoring, analysis, market data validation across all asset classes for senior management and regulators. Participate in regulatory stress testing program for market risk from design phase to implementation, including process flow, production process, control design, roles and responsibilities, and governance. Enhance and develop Risk Identification process within Investment Bank Market Risk department. Perform Market Risk Stress Testing, including stress calculation, scenario design, portfolio analytics, stress framework design and analyze historical trends, trading profile, and risk concentrations. Design business requirements and stress scenarios for implementation of Stress Testing platform, including User Interface Design, End to End process, and Controls design. Develop frameworks and valuation models for estimating market risk stress losses associated with Trading books and Money Market Mutual Funds. Work with Quantitative Analytics to develop and validate and implement methodology. Build out governance, production process, controls and reporting for stress testing, including writing technical documentation, report design, defining controls, sign off and data quality techniques. Act as point of contact for Audit related queries on stress testing. Engage with stakeholders and senior management across multiple business areas and divisions including Risk IT, Quantitative Analytics, Finance, Risk Management and Audit to present project updates and resolve issues. Drive and own the investigation and resolution of operational and technical challenges. Use Risk concepts such as Value at Risk (VaR) and Greeks to perform market risk analysis on the portfolio. Review regulatory requirements set by global regulators including Incremental Risk Charge, Basel 2.5, Market Risk Rule, FRTB for impact to the department. Remediate gaps between future requirements and current processes to ensure effective and efficient delivery and solutions. Serve as point of contact between Front Office (FO) group and the Risk management team, working on limits monitoring, strategic initiatives, and ad hoc projects. Produce cyclical and ad hoc reports for senior management and regulators, and streamline processes to ensure timely delivery of MI and regulatory deliverables. Analyze large sets of historical data to identify correlations, trends and concentrations to support Market Risk Scenario Generation and analysis.
Requirements: Bachelor’s degree or foreign equivalent in Finance, Engineering, Electrical Engineering or related quantitative field and four (4) years of experience performing market risk stress testing for an Investment Bank. Must have at least two (2) years of experience with the following: Performing Market Risk Stress Testing, including stress calculation, scenario design, portfolio analytics, and stress framework design; Implementing Regulatory requirements such as Basel 2.5, Market Risk Rule, FRTB; Executing projects from a design phase to implementation including process flow, control design, roles and responsibilities, and governance; Working with Risk Identification process within Investment Bank Market Risk department; Analyzing historical trends, trading profile, and risk concentrations for stress testing; Developing frameworks and valuation modeling for stress testing; Designing and implementing production processes including writing technical documentation and defining controls; Using Risk concepts such as Value at Risk (VaR) and the Greeks; Engaging with senior stakeholders and management at MD level and presenting project status and updates to senior stakeholders; Developing controls or governance frameworks and driving effective change for strategic initiatives and ad-hoc issues.
This position is eligible for incentives pursuant to Barclays Employee Referral Program.
Barclays is an EEO/AA employer.