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Review and analysis of algorithms, including controls and testing methods, as part of 2nd Line of Defense oversight of algorithmic validation.
Work with Model Risk Management department certifying algorithms by ensuring controls, performance and testing meets required benchmarks.
Design, development and maintenance of any application and reporting tools that are necessary to evidence the governance of algorithmic validation
Implementation of the governance and controls policy including assisting in the development of new controls where appropriate.
Review the risks associated with the trade flow through the multi-layered Trade Plant including manual and automated order generation, algorithm and router performance and conduct real-time market risk analysis using tools such as portfolio Greeks, stress testing, liquidity analysis, and Basel capital measures such as VaR, Stressed VaR, IRC, and CRM.
Oversight of trading limits and controls to ensure the business is taking risk consistent with the Firm's strategy (including review of intraday limit framework and limit utilizations).
Work directly with a diverse set of stakeholders including: Sales and Trading Business Units, Quantitative Strategists, Business Unit Risk Management, Compliance, Technology and Operations.
Coordinate as necessary with other functional groups including front office quantitative strategists, business unit risk management, information technology, regulatory and capital groups and maintain active dialogue with trading desks, risk management colleagues, and other support groups regarding trading and hedging strategies, risk representation, and limit compliance.
Communicate key risks to senior management on a regular basis, including creation of presentations articulating key risks. Escalate emerging or developing risks as the technological landscape evolves.
Skills required (essential)
Previous experience in a role with direct exposure to electronic trading (Trading Systems Support, Technology, QA, Operations, etc.)
Experience with electronic trading technologies and concepts as well as experience in algorithm development, including FIX messaging, market micro-structure, regulatory rules, and market data.
Strong knowledge of financial products is essential. Business analysis, program/project management, involvement in governance strongly preferred.
Proficiency with a variety of IT applications as well as a good understanding of programming is advantageous. Knowledge of mathematical finance and statistical methods.
An excellent academic background, including an advanced degree in a quantitative discipline, such as economics, finance, sciences or engineering. Additional qualifications, such as an FRM, would also be looked upon favourably.
Proactive with the ability to work as both part of a close-knit team and independently.
Strong analytical background.
Excellent communication skills for written, graphical and verbal presentation.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.