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SMBC Risk Analytics Specialist (Capital Markets) - Associate in New York, New York


SMBC Capital Markets, Inc. (CM) is a derivatives trading company which was started in 1988 and is based in New York City, with offices in London and Hong Kong. SMBC CM is an established derivatives dealer with a broad product portfolio, with specific emphasis on interest rates and foreign exchange products such as interest & FX swaps, FRAs, options, exotic products, commodity derivatives as well as exchange traded products such as treasury bonds, interest rate futures & options, currency futures, treasury futures & options, etc.

The Risk Analytics Specialist reports to the Head of the Risk Analytics Group within CM's Risk Management Department. The role's two primary functions are (1) to develop and maintain models and tools used by Risk Management Department, and (2) to perform / report ongoing monitoring tests for the firm's valuation models and risk models, at the direction of the Group Head.


  • Takes the ownership of the Initial Margin (SIMM) model at the direction of the Group Head. Works with Front Office, Portrolio Analysis, Margin, and System teams to ensure that CM's uncleared initial margin modeling and processes meet internal and regulatory requirements.

  • Works with Market Risk to maintain and enhance market risk models including VaR, stress testing, Risk Not in VaR, etc.

  • Develops and maintains models and tools for counterparty credit risk management purpose, including CVA VaR, wrong way risk analysis, stress testing and backtesting.

  • Designs and implements ongoing performance monitoring tools for CM's valuation models and risk models.

  • Produces periodic ongoing performance monitoring reports for all CM models at the direction of the Group Head.

  • Assists other groups in Risk Management Department to produce daily risk reports.


  • Master's Degree required (MA / MS / MBA) in Finance, Mathematics, Physics, Engineering, Computer Science or related quantitative field. PhD Degree preferred

  • 2-5 years of specialized experience in sell-side derivatives risk management or quantitative modelling role.

  • Strong knowledge of derivatives and their key risks, particularly interest rate and FX products.

  • Familiarity with relevant risk concepts and related valuation concepts (e.g. VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches).

  • Familiarity with risk management framework for various valuation adjustments’ risk in derivatives (e.g. CVA, DVA, FVA, CTDVA, KVA and IM).

  • Strong understanding of Python, C/C++/C#, Java or other object-oriented development languages; Microsoft Office Suite.

  • 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.

  • Strong project management skills; ability to work independently.

  • Ability to implement new risk controls and processes including technology infrastructure in support of risk management framework.

  • Expert communication and presentation skills.

  • Expert 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.

  • Language fluency in Japanese a plus.

Job Locations US-NY-New York

Posting Date 2 days ago (6/10/2021 11:57 AM)

Career Category Risk Management

iCIMS ID 2021-9870

Corporate Title Associate

Type Fulltime-Regular

SMBC is an EO employer – M/F/Veteran/Disability