Market Risk Quant/Modeling Associate in Cleveland, OH at Key Bank- Corporate

Date Posted: 8/29/2018

Job Snapshot

  • Employee Type:
    Full-Time
  • Location:
    127 Public Square
    Cleveland, OH
  • Job Type:
  • Experience:
    Not Specified
  • Date Posted:
    8/29/2018

Job Description

Job description:
Market Risk performs oversight of trading activities including the Fixed Income, Equities, Foreign Exchange and Interest Rate and Commodity Derivatives trading desks. The team performs a broad range of quantitative and qualitative analysis to support the Market Risk function, including monitoring and evaluating risks affecting current or anticipated capital, valuation, Value-At-Risk (VaR) and Counterparty Credit Risk (CCR). The Market Risk team also has an oversight function for Corporate Treasury.

The Strategy and Governance team within Market Risk is responsible for leading new Market Risk initiatives. The Strategy and Governance team also focuses on enhancing Market Risk processes and procedures, identifying emerging risks, and strengthening our oversight function of various lines of business or trading desks in accordance with both internal and external authoritative guidelines. Additionally, this team oversees the VaR reporting framework and is responsible for the regulatory reporting related to the Market Risk Rule (MRR).

The candidate for this role will have both quantitative and qualitative responsibilities to support Strategy and Governance team. The primary focus for this role will be to remain aware of updates to current legislation and implementing necessary changes as well as understanding prospective rules or impending legislation (i.e. Fundamental Review of the Trading Book (FRTB)). The candidate will be responsible for maintaining compliance with Market Rule as well as helping to manage the transition.

Job Responsibilities:
  • Support team’s efforts to remain compliant with the MRR: Daily VaR certification, stress testing, and limit monitoring, regulatory capital calculation, independent pricing, annual assessment of the VaR framework, identification of stress period and other governance requirements as defined in the rule.
  • Continued understanding and analysis of prospective legislation (i.e: FRTB) and implications on oversight responsibilities of Market Risk as well as other Lines of Business within the Bank. These responsibilities include but are not limited to:
    • Risk factor analysis, P&L attribution, trading / banking book determination, market risk capital calculation
    • Maintain communication with necessary stakeholders; collaborate with LOB, Finance, Operations and Technology. Prepare materials for senior management and regulators.
    • Work with Market Risk Quant team for quantitative analytics and models defined under prospective legislation
  • Lead team’s efforts to improve comprehensive limit setting process for trading activities
  • Identify emerging risk by improving risk tolerances metrics, EWIs and KRIs
  • Work with the team members to improve the Market Risk function
  • Provide analytical support to sr. members of the team and play a role in strategic decision making process
  • Understand the conceptual framework and assumptions of the pricing models, market risk framework and counterparty credit risk
  • Assess model performance through price replication, benchmarking and backtesting
  • Additionally, actively involved in the Volcker Rule Compliance activities pertaining to limit setting based on reasonably expected near term demand. The candidate can also be involved in Swap Dealer Program and compliance with Reg YY

Preferred Qualifications/Skills
  • Bachelor’s degree in Mathematics, Finance, Economics or other quantitative fields
  • Master’s degree in business or quantitative fields is preferred
  • 3+ years of experience in banking, risk management or other related field
  • Demonstrated understanding of trading instruments and knowledge of banking, capital markets, VaR and CCR (MPE, EVE…) concepts
  • Ability to discuss economic factors that impact a banks exposures to various financial risks
  • Ability to learn about the compliance with bank regulatory rules
  • Comfort working with stake-holders across the firm and superior communication skills
  • Microsoft Office tools



ABOUT KEY:
KeyCorp's roots trace back 190 years to Albany, New York. Headquartered in Cleveland, Ohio, Key is one of the nation's largest bank-based financial services companies, with assets of approximately $134.5 billion at March 31, 2017. Key provides deposit, lending, cash management, insurance, and investment services to individuals and businesses in 15 states under the name KeyBank National Association through a network of more than 1,200 branches and more than 1,500 ATMs. Key also provides a broad range of sophisticated corporate and investment banking products, such as merger and acquisition advice, public and private debt and equity, syndications, and derivatives to middle market companies in selected industries throughout the United States under the KeyBanc Capital Markets trade name. KeyBank is Member FDIC.

ABOUT THE BUSINESS:
Key Enterprise Risk Management provides leadership on risk management strategies and initiatives for credit, market, compliance and operational risk, as well as portfolio management, quantitative analytics and asset recovery activities. Key's objective is to achieve and sustain strong enterprise risk management practices consistent with industry standards and regulatory expectations in support of business strategies. To reach this goal, risk is identified, measured and managed in a manner that promotes effective decision-making and instills accountability. A strong risk culture is critical to achieving our vision to become the best regional bank in the U.S.

FLSA STATUS:Exempt

KeyCorp is an Equal Opportunity and Affirmative Action Employer committed to engaging a diverse workforce and sustaining an inclusive culture. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or veteran status.

JobID: 31339BR

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