Sr. Quantitative Risk Analyst - Market and Credit Risk
Location : San Antonio
Job Type : Direct
Hours : Full Time
Required Years of Experience : 6
Required Education : BS/MS/PhD
Travel : No
Relocation : Yes
Job Description :
Conducts and develops quantitative and analytic models, assessments and/or applications in support of risk management efforts that assess the market and identify risks and gaps in existing or proposed processes. Applies diverse methodologies and deep experience in a variety of disciplines to identify and solve complex and/or undefined risk problems. Works with leadership to remediate gaps and improvements identified between existing practices and regulatory requirements.
- Utilizes advanced analytics to assess future risk, opportunities, and effectiveness. Translates results into meaningful solutions to enhance decision making. May present findings to various levels of leadership.
- Applies advanced knowledge and industry best practices to quantify risk and aggregate exposures. Develops complex systems and programs that measure aggregate risk exposures.
- Applies innovative and scientific/quantitative analytical approaches to draw conclusions and make recommendations to answer business objectives and drive change. Translates recommendations into communication materials to effectively present to colleagues for peer review and management.
- Produce advanced analytical material for discussions with cross-functional teams to understand complex business objectives and influence solution strategies.
- Provides mentorship to other team members in the peer review process.
Required Qualifications :
- Bachelor's degree in Economics, Statistics, Mathematics, Actuarial Sciences or other quantitative discipline. 4 additional years of related experience beyond the minimum required may be substituted in lieu of a degree.
- 6 years related quantitative analysis experience in a discipline relevant to risk management to include statistical analysis, modeling, mathematics or other quantitative discipline OR advanced degree/designation in Economics, Statistics, Mathematics, Actuarial Sciences, or other quantitative discipline and 4+ years work experience in a quantitative discipline relevant to risk management OR PhD in Economics, Statistics, Mathematics, or other quantitative discipline and 2+ years work experience in a quantitative discipline relevant to risk management.
- Masters or PhD in financial mathematics, or other quantitative discipline; PhD strongly preferred
- Solid experience with Market Risk modelling techniques (fixed income securities valuation, IR derivatives, VaR, greeks, stress scenarios, etc.)
Or Credit Risk modelling techniques (PD/KMV EDF, asset correlations, LGD, EAD, EL/UL, EC, impairments, counterparty credit, etc.)
And relevant regulatory requirements (SR 11-7, DFAST, CECL, etc.)
- Proven experience in producing high-quality documentation of model assumptions, design, implementation, limitations, and performance monitoring in compliance with model risk governance policy/procedures and meeting heightened regulatory expectations
- Demonstrated ability to interface with model validation teams, audit teams, and regulatory bodies (Fed, OCC, etc.) in order to explain and defend the assumptions and quantitative methodologies embedded and/or leveraged in the risk models
- Business Knowledge of Capital Markets and Investment Portfolios: how the markets operate, what the products and main risk drivers are, how credit cycles work, how investment portfolios are constructed, and what are main methodologies to analyze portfolio risks
- Excellent verbal, written, and interpersonal communication skills to convey clearly his/her ideas in front of various audiences, including senior management, and represent risk methodology team in committees
- Demonstrated ability to work with cross-functional teams, actively lead projects/discussions, work through problems and reach decisions that are in the best interest of the company and members
- Prior experience with MSCI Risk Manager or Moody’s Risk Frontier highly desirable
Skills :credit risk market risk