Analyst - Market Risk ManagementBookmark This
Market Risk (“MRM”) is the unit of Enterprise Risk Management responsible for overseeing market risk across the enterprise. This involves identification, measurement, analysis, control, capital assessment and communication of interest rate, equity market, credit spread, currency, derivative, counterparty and liquidity risks from economic, statutory and GAAP perspectives. It also involves recommending market risk appetite relative to capital needs, supporting the enterprise process for liability replication portfolios, stress testing for market events, and implementing a limit framework for the management of market risk usage across businesses.
This position is part of a newly formed team within MRM dedicated to Market Risk Calculation, Reporting and Limit Administration. The successful candidate will assist with the reporting and analysis process for market risks. This will include limit compliance monitoring and management reporting at the enterprise, business unit, and insurance and captive reinsurance affiliate levels.
To effectively manage these responsibilities, the successful candidate will work both independently and as part of a team with significant dependence on relationships with portfolio managers, Business Unit Actuaries, finance, Investment Operations and analytical software vendors.
This individual will be responsible for assisting with the:
- Analysis and reporting of market risks to quantify, assess and communicate their impact on income and capital. Monitoring and reporting on market risk limit compliance across the enterprise and within businesses and legal entities.
- Development and maintenance of sophisticated tools to produce largely automated reports and between period attribution to support MRM’s communication with senior management, business leaders, investment committees and the Market Risk Oversight Committee.
- Ongoing monitoring of key sources of interest rate, derivative and other market risks including comprehensive analysis/understanding by business and legal entity, strategy, potential impact on earnings/capital/economic value, and management criteria (exit strategy, trigger points, etc.). This may entail analysis supporting SEC MDA reporting of market risk sensitivities and integrating this data with the enterprise’s market risk limit and capital assessment frameworks.
- Additional responsibilities may involve special projects and documentation efforts. For example, tasks necessary to support our needs under a new regulatory framework.
· Bachelor’s degree in Mathematics, Finance, Economics, Engineering or related field with coursework indicating a breadth of interests and abilities
· Strong quantitative skills (experience involving data analysis in an investment, finance, risk or actuarial assignment is a plus)
· Strong reasoning and excellent written communication skills.
· Basic understanding of fixed income markets, derivatives and/or portfolio asset liability management is desirable.
· Helpful to have knowledge of Prudential’s businesses and product offerings.
· Demonstrated effectiveness working independently and in multi-disciplinary teams in a dynamic environment
· Proficiency with Microsoft Excel and/or Access is required. Must be comfortable using desktop and online applications to efficiently manage and report from vast populations of data.
· Ability to understand complex technical investment and financial issues and synthesize knowledge into clear, concise business terms to inform senior management decision-making
· Self-starter with ability to multi-task and work effectively under a dynamic environment with limited direction