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

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

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.