VP Risk Appetite & Limits (Liquidity & Treasury Risk)

Selby Jennings QRF
Manhattan, USA
USD130000 - USD170000 per year
Mar 26, 2023
Apr 25, 2023
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
A leading American Investment Bank is looking to increase headcount at the VP and SVP level for their Risk Appetite and Limits team. This team sits within the Enterprise Risk Management umbrella and focuses on concentration risk management and frameworks for the bank.

This individual will be responsible for supporting and enhancing the concentration risk frameworks for Liquidity and Treasury, and providing subject matter expertise to first and second line stakeholders. This is part of a new group, but at a high level, you will be working with the business to innovate how they develop and manage risk appetite and limits for liquidity and treasury across the bank.

  • Collaborate with Subject Matter Experts from Business and Risk Management to establish enhanced Enterprise Concentration Risk Management of the firm's Market Risk Trading and Non-Trading Risk Pools to address regulatory and risk management requests.
  • Lead robust Annual Review and Challenge of Risk Pools' existing metrics and limit inventory for dynamic and effective concentration identification and management.
  • Design and develop appropriate metrics and tests to identify, quantify, and manage overall Market Risk concentrations across different Risk Pools, i.e., Joint interest risk for Trading Book and Banking Book
  • Work with methodology owners and relevant stakeholders on the interpretations of outcomes from enterprise stress testing and perform concentration risk analytics for the understanding of fundamental risk drivers as well as cross-pool correlations.

  • 6-10 years of experience in the financial services industry
  • Solid understanding of key Trading products, factor sensitivity and other key metrics (e.g., VaR, Stress VaR), Market Risk Stress Testing methodology and model validation
  • Portfolio management experience including limit monitoring, risk appetite, with good understanding of regulatory requirements
  • Previous experience with C/C++, Python, R and/or other statistical/programming languages is a plus

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