Market Risk/Investments Analytics and Technology Consultant

About this position:

The Office of Risk Management (RMG) is looking for a dynamic and innovative market risk/investment technology and analytics consultant who will help us enhance our workflow and improve our stress testing and investment portfolio analytics.

What you'll do:

• Configure Summit to support, design, and align risk and portfolio reporting/analytics, including sensitivities and stress.

• Implement stress tests in Summit and test output to assess accuracy.

• Build a dashboard to display stress scenario P&L and other risk metrics for the portfolio.

• Develop documentation to support using stress as the binding risk metric for the investment portfolio.

• Work with technology, first line, accounting, and risk teams to automate the calculation of P&L in the investment portfolio, including analytics for new products.

• Develop dashboards to analyze investment portfolio P&L.

• Document new functionalities in Summit, including the parametrization, calibration and implementation of new stress scenarios; the process to configure new curves and products; reporting capabilities.

What you'll need:

• Education: Strong quantitative background with minimum of master's degree.

• Experience designing and implementing fixed income analytics for trading portfolios at banks.

• Experience with Summit highly preferred. Familiarity with fixed income risk and valuation systems.

• Knowledge of calculation of standard fixed income analytics.

• At least 10 years of experience in finance, capital markets, risk management and/or portfolio management with exposure to stress testing and fixed income analytics and P&L.

• Outstanding analytical and problem-solving skills. Strong communication skills, including the ability to draft well-written, coherent analyses and documents for senior management.

• Languages: Proficiency in English