- Company Name
- MPG Partners
- Job Title
- Market Risk Specialist
- Job Description
-
**Job title**
Market Risk Specialist
**Role Summary**
Drive market‑risk analytics for leading retail and investment banks. Develop, validate, and document quantitative risk models, produce risk indicators for front‑office and risk‑management teams, and perform stress‑testing, gap analyses, and sensitivity back‑testing to support regulatory compliance (FRTB, Basel III/IV).
**Expactations**
- Deliver high‑quality, consistent risk metrics and model documentation.
- Communicate complex model outputs to both technical and non‑technical stakeholders.
- Keep abreast of regulatory evolutions and translate them into model adjustments.
- Innovate on quantitative or technological approaches to enhance risk measurement tools.
**Key Responsibilities**
1. Design and implement market‑risk measurement methodologies (valuation, stress‑tests, sensitivities, FRTB compliance).
2. Produce and audit risk‑indicator reports for traders and risk‑management executives.
3. Validate and interpret model outputs; ensure reliability and regulatory conformity.
4. Examine, challenge, and document pricing models used in trading desks.
5. Build, analyze, and back‑test risk‑factor components (sensitivities, volatilities, correlations).
6. Conduct portfolio‑level stress tests and impact analyses.
7. Perform gap analyses when models or methodologies change.
8. Collaborate across modeling, IT, and risk teams to implement robust solutions.
9. Propose innovative techniques, tools, or process improvements.
10. Monitor and assess regulatory changes affecting market‑risk models.
**Required Skills**
- Advanced quantitative skill set (mathematics, statistics, financial engineering).
- Strong programming proficiency in at least one of: Python, Java, C#, VBA.
- Expertise with financial products, derivatives, and pricing models.
- Rigorous analytical and scientific rigor.
- Ability to synthesize complex information and communicate clearly in English.
- Team‑orientation, critical thinking, and adaptability.
**Required Education & Certifications**
- Minimum advanced degree (Master’s/PhD) in financial mathematics, statistics, engineering, quantitative finance, or equivalent.
- Professional experience (or significant internship) in market‑risk modeling, model validation, or derivative pricing at a bank, consulting firm, or financial institution.
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