Development, enhancement and maintenance of market risk capital forecasting models under stress scenarios to ensure ongoing appropriateness and adaptations to new regulations (e.g. FRTB); Contribution to key regulatory deliverables and programs (e.g. FRTB) as well as analysis and interpretation of key regulatory requirements; Perform ongoing monitoring and evaluation of market risk capital forecasting models, review existing models to ensure they remain fit for purpose and make improvements where necessary; Collaborate closely with the model validation team to understand validation findings and remediate any identified issues
Requirements:
MSc or equivalent in a quantitative subject (such as quantitative finance, statistics/mathematics, sciences or engineering); Deep understanding of quantitative risk including good knowledge of financial products and their risk representation; Demonstrable experience in delivering enhancements to risk models; Excellent mathematical, analytical, problem solving and troubleshooting skills
Text:
Risk Analytics - Associate Development, enhancement and maintenance of market risk capital forecasting models under stress scenarios to ensure ongoing appropriateness and adaptations to new regulations (e.g. FRTB); Contribution to key regulatory deliverables and programs (e.g. FRTB) as well as analysis and interpretation of key regulatory requirements; Perform ongoing monitoring and evaluation of market risk capital forecasting models, review existing models to ensure they remain fit for purpose and make improvements where necessary; Collaborate closely with the model validation team to understand validation findings and remediate any identified issues MSc or equivalent in a quantitative subject (such as quantitative finance, statistics/mathematics, sciences or engineering); Deep understanding of quantitative risk including good knowledge of financial products and their risk representation; Demonstrable experience in delivering enhancements to risk models; Excellent mathematical, analytical, problem solving and troubleshooting skills
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