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Job Title: Vice President, Market Risk
Job Location: NY: New York
Pay Rate: Open
Job Length: full time
Start Date: 2008-09-06

Company Name: RBC Financial Group
Contact: Recruiter
Phone: email only please
Fax: email only please

Description: Vice President, Market Risk

Posting Start Date: January 22 2008 Job Category: Risk Management

Job Type: Full-Time

Employment Type: Regular - U.S.

Pay Type: Salaried /tr Exempt/ Non-Exempt: N/A

Work Schedule:

Work Hours/ Week: na

People Manager: No

Posting End Date: January 28 2008 Legal Entity: RBC New York & CMA

Work Environment: Office

Location: New York

City: New York Office/ Branch Address: 1 Liberty Plaza Relocation Provided: No

Travel Percentage: 0

Fluent In: English

Req ID#: 84642

Position Purpose: PURPOSE: Market Risk, New York is to provide independent and effective on-site monitoring, controlling and communicating on the nature and extent of all material market, credit and operational risk positions and to ensure the implementation of and compliance with risk management policies. This role will provide regular risk analysis and methodology support for non-linear trading activities. Key Accountabilities: KEY RESULT AREAS: Valuation . Take ownership for the independent price verification methodology and reserve methodology for the non-linear equity derivative books, which includes: o Evaluating and approving the use of market data vendors (eg. MarkIt Partners); o Establishing appropriate methodologies for reserves (bid/offer, liquidity, etc) taking into account hedges in the book as appropriate; o Define and provide supporting analysis for RBCs valuations vis-à-vis EITF 02-3 and FASB 157; o Ensuring completeness and consistency in our reserve policies and methodologies; P&L Decomposition . Define appropriate p&l decomposition framework for non-linear equity trading desks using tools such as Sophis; . Assist desk risk managers in evaluating high levels of unexplained p&l; . Evaluate risk measures and propose changes as necessary to ensure p&l and risk measurement are properly aligned; Model Management . Liase with GRM-QA to ensure all equity derivative risk/valuation models are vetted appropriately; . Ensure model limitations are understood and reserves, systems, IPV, etc. are implemented as needed to reflect the model limitations; Risk Measurement . In conjunction with desk risk managers, evaluate and analyze trading strategies and identify supplementary risk measures and controls required at the trading desk level, This may include, but is not limited to: o Development of new risk measures; o Improvements to VaR methodology; o Developing and implementing new stress scenarios; . Play a lead role among Market Risk end-users in implementing the new Sophis equity derivative trading system. . Investigate risks to provide value-added insight and analysis to senior management on risk trends and concerns; . Evaluate regulatory capital for portfolios/products that are not captured within the Value-at-Risk framework; Risk Analytics/Transaction Facilitation . Review non-traditional transactions or new transaction types and ensure proper risk controls and measurements are established; . Ensure experimental trades are analysed and tracked consistent with RBCs policy; . Provide quantitative analytical support to the business on complex transactions and new business initiatives; Job Requirements: (Knowledge/ Experience): STAFFING REQUIREMENTS: . MBA, MA, MS or equivalent with emphasis in finance, economics or a quantitative discipline. . Minimum 5 years experience working in a credit or market risk function including: o Value-at-Risk measurement and back-testing o Stress testing and scenario analysis o Sensitivity analysis and p/l decomposition . Minimum 3+ year In depth experience analyzing risk for exotic equity products and strategies including: o Cash equities, vanilla equity swaps o Variance swaps, otc options and listed options (eg. Vol arb strategies) o Exotic options - asian options, barrier options, etc. . Strong written and oral communication skills. . Strong technology skills and experience in implementing risk-related software applications. STAFF REPORTING TO INCUMBENT: . None . Incumbent is expected to mentor more junior team members UNITS SUPPORTED/KEY STATISTICS: . Global Arbitrage & Trading . Global Structured Products - Equity Derivatives KEY LATERAL RELATIONSHIPS: . Traders, trader assistants and marketers . Other Risk Managers in Toronto, London and New York . Product Control and Finance . Trading Operations . Information Technology . Third party dealers and brokers Required Skills/ Competencies/ Attributes: Education: MBA Required Accreditation(s): Special Conditions: na Diversity: Diversity in the workplace, one of our shared values, lies at the heart of our rewarding, open, supportive and inclusive work environment. We respect and respond to the many competing and evolving priorities in our lives so you can focus on what you can do best - put clients first. EOE/M/F/D/V About RBC: Interested in finding out more? Clickhere.

Please refer to Job code rbc-223508 when responding to this ad.

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