In conjunction with the global Risk Analytics team, support in the development of IMM, IRB and IMA risk models and model enhancements specific to the European requirements; Ongoing monitoring and evaluation of the performance and compliance of the internal risk models in line with internal and regulatory standards and conditions; Regulatory related analysis and communication on market and credit risk models to support accurate and timely submissions to the local regulators; Input into the model validation process led by Model Risk Management
Requirements:
MSc, PhD or equivalent in a quantitative subject (such as mathematics, physics, finance, economics or engineering); Solid knowledge of regulatory requirements for internal capital models and developments, in particular those emanating from Basel and European regulatory authorities; Strong understanding of traded derivative and fixed income products, and the behavior of these portfolios under stress
Text:
Risk Analytics Vice President In conjunction with the global Risk Analytics team, support in the development of IMM, IRB and IMA risk models and model enhancements specific to the European requirements; Ongoing monitoring and evaluation of the performance and compliance of the internal risk models in line with internal and regulatory standards and conditions; Regulatory related analysis and communication on market and credit risk models to support accurate and timely submissions to the local regulators; Input into the model validation process led by Model Risk Management MSc, PhD or equivalent in a quantitative subject (such as mathematics, physics, finance, economics or engineering); Solid knowledge of regulatory requirements for internal capital models and developments, in particular those emanating from Basel and European regulatory authorities; Strong understanding of traded derivative and fixed income products, and the behavior of these portfolios under stress
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