Market Risk Modeler - BFS

Job Duties :

- Independently build and manage quantitative market risk analytical solutions for various derivative products under manager's supervision. He/she will act as key contact for risk analytics with regulators, Internal Audit Department, and Model Validation Group

- Providing strong independent assessment, challenge and solutions in partnership with the businesses and functions

- Monitor & assess effectiveness of Risk controls & mitigating tools. Assist and advise on remediation and corrective actions where appropriate

- Works with senior team members to evaluate existing processes in relation to corporate objectives and industry leading practices. Assess development needs and manages processes to achieve desired future state specifically to ensure compliance with FRTB standards

- Contributes to communication and training efforts to promote understanding of market risk management throughout the company

- Ensures that loss estimations calculations meet both internal corporate needs and regulatory requirements

- Trains junior staff on developing, implementing and monitoring models

- Acts as subject area expert and provides comprehensive, in-depth consulting and leadership to team and partners at a high technical level

- Reconcile positions and P/L and calculate Value-At-Risk (VAR) and Stress Test results

- Daily review of all new trading positions and Design and update of system map and workflow

Skills and Required exp :

- 4+ years of experience developing and managing market risk models in banking/finance/insurance or related industries

- 5-7 years of experience in working with multiple technical applications such as SAS, Python, SQL, R, Matlab and Excel

- Experience with Murex, QRM, Bloomberg and Algo

- Ability to effectively communicate with peers, senior management and overseas partners

- Ability to work under pressure and organize, manage and prioritize multiple deliverables

- Prior experience with market risk and RWA methodologies - VaR, Stressed VaR, IRC

- Extensive experience of existing and good understanding of new complex regulatory policies and reporting requirements such as FRTB and CECL/IFRS9

- Strong presentation and interpersonal skills Ability to work effectively across organization lines

- Knowledge and experience with counterparty risk concepts (PFE,SA-CCR, EPE etc.) and analysis with FX, IRD forward/futures/options derivatives concepts is a big plus

- Technical skills / systems knowledge (e.g. SAS, Python, Matlab and Advanced Excel), ALGO Risk Watch, Murex is required

- Excellent oral and written communication skills

- CFA or FRM will be preferred