Job Views:  
1658
Applications:  163
Recruiter Actions:  162

Posted in

Consulting

Job Code

773686

Market Risk Analytics/VaR Modeling Role - Python/R/SAS

1 - 6 Years.Bangalore
Posted 4 years ago
Posted 4 years ago

Looking for 1 to 6 years of experience in Market Risk Analytics with good experience in any programming language.

Responsibilities:

Assist in defining and implementing all methodological improvements for portfolio market risk metrics. This includes:

- Perform regular calculations and analysis on model performance metrics for the VaR, Risk Not in VaR (RniV) and FRTB models.

- Perform regular data quality review on inputs to market risk models.

- Perform regular calibration on credit idiosyncratic add-ons to the VaR model.

- Produce the VaR model performance packs for SCB Group and other key subsidiaries.

- Testing production systems for VaR/ES model changes, system migrations and new products

- Assist in the development of VaR and RniV models.

- Support risk managers in queries related to VaR and other portfolio risk metrics.

- Maintenance and enhancements of existing VaR, stressed VaR, RniV and IRC models.

Skills & Experience:

The holder of the position must:

- be educated to at least the level of an MSc in a quantitative scientific subject including statistics and a research element;

- have academic and/or professional experience in data analysis and simulation methods;

- have a good understanding of market risk and traded products;

- be able to communicate technical concepts clearly both verbally and in written documents;

-possess strong computing skills (programming skills desirable);

- be able to learn quickly;

- be able to forge good working relationships with his/her peers in the Singapore and UK;

- be able to work effectively with risk managers and other stakeholders.

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Job Views:  
1658
Applications:  163
Recruiter Actions:  162

Posted in

Consulting

Job Code

773686

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