Risk Valuations and Modeling

Robert Half - US
New York, USA
$90-130k base plus bonus
Jun 26, 2019
Jul 12, 2019
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
The Risk Valuation Group is responsible for understanding, implementing and ensuring uniform valuation processes, practices and modeling across the various firm entities.

The group also works closely with the Market Risk team to research appropriate margining techniques and trading limits. The instruments range from spot transactions to exotic options across almost all asset classes with a heavy emphasis in currencies, grains, metals and softs.

Primary Accountabilities/Responsibilities:
  • Develop complete understanding of firmwide trading positions, systems, models, data inputs and pricing sources across all entities to ensure completeness, accuracy and validity of all prices and margins.
  • Analyze and provide recommendations to improve the processes and procedures for ensuring accurate, daily mark-to-market of customer and company positions.
  • Identify weaknesses in processes and price testing sources with ability to document, present findings and offer alternative solutions.
  • Research complex analytics to assist the company with capital allocation decisions.
  • Conduct weekly liquidity stress testing for the firm's entities
  • Participate in model validation reviews with other risk, back-office and front-office personnel or groups.
  • Participate in new product/system reviews and represent the valuation group point of view.
  • With Market Risk, research various instruments and margining techniques, and suggest trading limit methodologies.
  • Build working relationships with risk strategy, risk compliance, front-office IT and back-office IT to accomplish all the tasks of the valuation group.

Job Requirements:
  • Bachelors and Masters degrees in financial engineering/math/computer science/finance.
  • CFA, FRM or PRM Certificate (or in-process) preferred.
  • 2+ years hands-on technical experience across a range of financial products, OTC derivative products in particular (e.g. valuation, price testing, modeling and/or P&L analysis).
  • Programming experience in at least one of: (Python, MATLAB, SAS, R) is required.
  • 2+ years experience with databases and data manipulation technologies is required (Excel, SQL, VBA, etc.)
  • Knowledge of both derivatives lifecycles and how derivative valuations are calculated is essential.
  • Technical knowledge of models, forward and volatility curve interpolation/extrapolation, model-risk mitigation practices and understanding these as it relates to the underlying asset class.
  • Experience with market data terminals preferred (Bloomberg, Reuters)
  • Strong and thorough attention to detail with the ability to handle multiple projects simultaneously.
  • Able to work with a minimum of supervision while understanding the necessity for communicating and coordinating work efforts with other employees and organizations.
  • Excellent communication and interpersonal skills with the ability to present information in a concise and informative manner.
  • Must be authorized to work in the US for any employer.

This Risk Valuations and Modeling role is located in midtown Manhattan so please only apply if you are able to travel to this location and have relevant experience for the role. The salary is flexible dependent on experience, but the initial range is $90-130k base plus bonus. If your profile matches the above criteria please contact me on trishan.khareghat@roberthalf.com


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