SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFG's shares trade on the Tokyo, Nagoya, and New York (NYSE SMFG) stock exchanges.
In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organization's extensive global network. The Group's operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC Rail Services LLC, Manufacturers Bank, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.
The anticipated salary range for this role is between $95,000.00and $147,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.
Role Description.The Market Risk Analytics Associates two primary function are (1) to develop and maintain VaR/SVaR model and other capital-related market risk models/tools, and (2) to perform the VaR/SVaR model performance monitoring.Role ObjectivesResearch on the conceptual soundness of the capital-related market risk models, including VaR/SVaR and FRTBScenario simulation choices (e.g. parametric, historical, Monte-Carlo)PnL generation choices (e.g. sensitivity-based, partial-reval, full-reval)Historical data filling/proxyRNiV analysisMaintain the firm's market risk models and enhance them if needed to bring them to the best industry practiceEnsure the model implementation is accurateRemediate the identified model issues by internal/external partiesPerform the ongoing performance monitoring tests on the market risk models, including but not limited to the followingbenchmarking testsStress period selection/calibrationRNiV quantificationPnL attributionHistorical data quality assessment and data fillingDraft/update the model documents and the ongoing monitoring reportsDocument the development testingDocument the monitoring testing in the ongoing monitoring reportsUpdate the model documents to reflect model changesPrepare materials/evidence to support model audit and regulatory model reviewsQualifications and Skills2-5 years of specialized experience in sell-side derivatives risk management or quantitative modelling roleMasters Degree required (MA / MS / MBA) in Finance, Mathematics, Physics, Engineering, Computer Science or related quantitative field. PhD Degree preferredStrong knowledge of derivatives and their key risks, particularly Interest Rates, FX and Credit products.Familiarity with relevant risk concepts and related valuation concepts (e.g. VaR and stress-testing standards, model assessment and validation, documentation and reporting approaches).Strong understanding of Python and Microsoft Office Suite required. A plus C/C++/C#, Java or other object-oriented development languages.Strong reasoning ability understands complex situations, people and systems needs against backdrop of managing a risk management environment.Strong analytical skills great attention to detail.Ability to work independently.Ability to implement new risk controls and processes including technology infrastructure in support of risk management framework.Good communication and presentation skills.Ability to work collaboratively with internal risk management colleagues and risk management leaders across all subsidiaries and globally.Understanding of regulatory requirements of model risk, and experience complying with such requirements.Additional Requirements
SMBC's employees participate in a hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process.
We are an equal employment opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, gender, national origin, disability status, protected veteran status or any other characteristic protected by law. SMBC provides reasonable accommodations for employees and applicants with disabilities consistent with applicable law. If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.com.