Executive Director - Market Risk Technology
Hybrid - NYC
Our Risk IT currently maintains two global systems for determining Market Risk for the firm: one for OTC derivatives, another for SFT products. As part of our IT Transformation Project these two systems are being merged into one, with modernized downstream reporting, and a migration of the combined system to a public cloud platform (AWS). Senior management have recognized this as an important area for investment, so additional funding has recently been approved to ensure timely delivery of these strategic projects, with new requirements added to improve product coverage and operational stability.
This role, therefore, is to be the leader of a new Market Risk IT team in New York. They will be required to partner with the existing global Market Risk IT team being led out of London, with further members in Tokyo, Shanghai and Mumbai.
The responsibilities of the team will be to actively contribute to the four main stages of the CCR calculation platform: ETL (extract-transform-load, written in python), pricing (Monte-Carlo simulation using a C++ pricing library and gRPC interface), aggregation (currently done using a java service, but migrating to ActivePivot), and reporting (mostly java and python, plus BI platforms).
The successful candidate will have experience in team leadership and platform ownership in the area of Risk IT, ideally Market risk. Additionally, they will be required to demonstrate both hands-on specialism in at least one of the four stages described above, as well as experience in systems architecture design.
- Team leadership and system ownership/design experience in Risk IT
- Collaborative and constructive approach to working in global teams
- Strong grasp of Market Risk concepts – VaR Exposure, Expected Exposure(EEPE/EENE), JTD, Counterparty Risk, Collateral Management, XVA/CVA
- Understanding of Monte-Carlo simulation, quantitative financial modelling (IR, FX, equity & credit products)
- Strong technical skills with hands-on experience in either java or C++
- Experience with ActivePivot or similar MDX-based OLAP technology
- Experience in migration to public cloud platforms (AWS, Google Cloud and/or Azure)
- Working experience of Business Intelligence Tools (Business Objects, MS Power BI, Dremio, OData)
- Bachelor's/Master's Degree in Financial Engineering, Mathematics, Information Systems, Statistics or Equivalent Experience
- Business Administration
- Staff Management
- Strategic Planning
- Team Building