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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