EM Risk Manager
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The successful candidate will be the main risk resource for all Emerging Markets local and external debt, non-US developed sovereign, and non-US corporate credit products. He or she will be responsible for creating or vetting valuation models for every such instrument owned or considered. addition, the successful candidate will be expected to understand EM/DM strategy on a more qualitative level, and to have extensive practical experience with EM/DM instruments in a trading and/or portfolio management environment. The risk manager/modeler will work with the portfolio management area to structure portfolios and to provide an independent view of portfolio risk. Although the role is not primarily a policing role, the risk manager/modeler will be expected to escalate risk issues where he or she feels the risk/reward tradeoffs are not appropriate.
Experience with as many of the following as possible is desirable: Modeling sovereign curves, sovereign spreads and sovereign default risk, external currency bonds and local currency bonds, both sovereign and corporate. Contagion models; correlated sovereign spreads and defaults. F/X spot and forward modeling. Experience with all debt tiers lower 2, upper 2, and 1 Non-US mortgage markets such as pfandbrief.
The successful candidate will have a Ph.D. or Master's degree in a quantitative discipline with a minimum of at least five years' experience as a "desk quant," trader, trade analysis support, risk manager, portfolio analyst, or portfolio manager. Experience with model development, testing, and implementation, preferably experience with SAS, Matlab, FinCad or other modeling/statistical software. A detailed understanding of fixed income markets, trading and/or portfolio management processes, practical business applications and ability to articulate ideas and develop recommendations under uncertainty and regarding "grey areas", and ability to obtain data and information from disparate sources, link and analyze the information, perform data integrity checks, and conduct analysis.