Market risk manager, VTB Capital
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Market risk manager, VTB Capital

The position holder will deal with market risk issues of the business both on the local Moscow side and being part of the global team as well. He will participate in an important development and upgrade of market risk systems, elaborate and produce various risk reports, perform market risk control, participate in new products development and risk review, creation and development of limits structures, will provide exposures analysis

Major responsibilities include:

Participation in the market risk IT systems’ development and upgrade
Analysis and improvement of market risk models
Market risk reports production
Market risk review of new products, providing recommendations on products structuring
Quantitative analysis of instruments, trading strategies, markets
Suggestion/setting of risk limits and calculation of exposures incl. VaR, Stress Test, position concentration, safe haircuts, and collateral concentration limits
Exposure comprehensive review
Interaction with business and support functions, IT teams

Requirements

2+ year experience in market risk management is a must
Knowledge of the financial market and products
Understanding of financial instruments pricing (including exotic derivatives)
Good understanding of interest rate risk, yield curve construction
Strong technical skills including VBA programming and SQL
R / Python / other programming languages would be a plus
Higher education majoring in Math/Physics/Finance
FRM/PRM certificate would be a plus
Fluent English (oral and written) is a must
Excellent analytical skills
Good communication skills

VTB Capital

VTB Group’s Corporate Investment Business is a leader in the international investment banking sector in Russia. VTB Capital has achieved significant results since it was founded in 2008 and has carved out a reputation of a reliable business partner for clients from around the world. VTB Capital operates in Moscow, London, Hong Kong, Singapore and Sofia as well as on the basis of the VTB Group’s international offices in Shanghai, Frankfurt, Vienna and Zug. It is headquartered in Moscow.

Job type Full-time
Experience level Middle
Location Office

Published: 28/01/2022