VP – Risk Manager – (1 year Direct Contract)
Key Duties and Responsibilities
* Ensure the Company’s Enterprise Risk Management Framework and policies are appropriate.
* Provide analytics and conduct independent research on portfolio and risk-related matters (eg, liquidity analysis, swing pricing, stress test, back-testing, style analyses).
* Responsible for the setting, reviewing and monitoring of investment risk limits (eg. Value-at-Risk, ex-ante tracking error, max drawdown, stop-loss)
* Enhance analysis from BarraOne by extracting data to create customized reports and dashboards.
* Conduct system gap analysis and facilitate necessary enhancements or migrations.
* Conduct research on market best practices, incorporate into internal policies and ensure that these policies can be deployed pragmatically.
* Work with both Investment Teams and Back Office to understand their requirements, independently obtain required data and create the necessary framework to present the analysis to facilitate their decision making process.
* Implement the counterparty risk management framework including counterparty review, counterparty assessment, counterparty exposure limit setting and monitoring.
* Engage with the Investment Teams on all portfolio risk-related matters.
* Assist to review agreements/ fund documents from risk perspective
* Assist to prepare Board and management reports
* Degree in Financial Engineering, Finance, Risk, Computer Science or related discipline.
* FRM, CFA, or similar qualifications are preferred
Experience and Skills
* Minimally 7 years of relevant experience in asset management, banking or/ and insurance.
* Good working knowledge of BarraOne or any market-standard risk system. Experience in risk systems migration would be advantageous.
* Strong knowledge of securities and portfolio risk.
* Familiarity with Counterparty risk (Pre-settlement Credit Exposures – PCE, Loan & Loan equivalent – LLE, and Daily Settlement Exposure – DSE) and credit value adjustments (CVA), and how netting and collateralization would reduce counterparty risk, would be advantageous.
* Experience in fundamental and quantitative credit analysis would be advantageous.
* Good working knowledge of Excel and Excel VBA
* Knowledge of Matlab and C++ would be advantageous
* Knowledge of statistical analysis.
* Possesses initiative and the ability to work under pressure to meet deadlines.
* Focused on quality and customer satisfaction.
* Excellent communication skills with the ability to work in teams
* Proactive in nature