Market Risk Team Executive Director

 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 MANUBANK, 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 $204,000.00 and $265,000.00. 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

Using a number of modeling techniques and data structures, project the potential interest rate risk on short-term earnings and longer term equity and economic value at risk. Monitor potential loss across different types of risks. Establish thresholds, at-risk levels and exposure limits by product and business. Based on model results, suggest changes to positions and strategies.

Role Objectives: Delivery

Oversee modeling that projects the potential interest rate risk on short-term earnings and longer term equity / economic value at risk, taking into account both a static analysis of interest rate margins and a dynamic view of changing market conditions including elements such as yield, convexity, duration and FX. Manage the production of fair value equivalents for asset prices and funding costs using existing pricing data from businesses, counterparties, markets, replacement costs and transfer pricing data. Stress test result. Ensure the proper preparation of a gap analysis. Stress test results. Oversee the production of funding analysis that takes into account total cost including deposits incorporating relevant ops costs. Create, measure and monitor potential loss across different types of risks (interest, convexity, duration, FX, counterparty, etc.). Establish thresholds, at-risk levels, and exposure limits by product and business. Based on model results, suggest changes to positions and strategies.

Role Objectives: Interpersonal

Improve modeling techniques and understand emerging trends through strong personal and unit collaboration with consulting firms, academic institutions and other financial institutions. Work collaboratively with functions such as IT to improve data gathering and model construction. Work closely with industry specialists, country risk managers, credit review / analysis staff, treasury staff and relationship managers to determine and evaluate if potential risks are properly reflected in the models. Participate in long- and short-term planning, new product development, ALM and risk management meetings. Network within the industry through meetings, events and involvement with trade organizations to better understand emerging risk trends and how they are reflected in models. Facilitate cooperation with auditors and regulators to better understand their concerns and reduce potential compliance issues.

Role Objectives: Expertise

Apply a strong background in financial analysis, especially elements of interest rate analysis such as yield, convexity, duration, and FX. Demonstrate a deep expertise in financial markets and economics to ensure models take into account current and changing conditions and to create a valid set of variables and scenarios. Demonstrate a deep expertise in risk modeling to take into account various types of risk, correlation between risks and idiosyncratic risk. Have a strong understanding of information technology, data management and statistical analysis to create meaningful modeling and analysis. Exhibit exceptional communication skills when conveying complex concepts.

Qualifications and Skills

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