Job Description - Modeler - Market Risk
Description :
Your responsibilities include:
- Develop models, ensuring theoretical soundness by employing advanced mathematical and statistical techniques
- Demonstrate independence in testing design and execution, results interpretation and presentation, and production of robust documentation
- Collaborate with colleagues across the world, and will regularly engage with partners such as business, senior management and regulators
- Play a role in the documentation and review of risk capture, sensitivities and data assets used in model
- Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture
- Ensure that models are adequately documented for both internal and external (e.g. regulatory) purposes
- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications
- Collaborate with Quant Strats internal and external teams on the development, implementation, and review of projections models
Your future colleagues :
- You will join the QS Projection Modeling team. You will be involved in the development and maintenance of comprehensive and consistent risk models for VaR/ Stressed VaR RWA projection and stress testing areas, meeting both internal management and regulatory requirements.
- We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global cultural values.
Qualifications :
To excel in this role, you should possess:
- Understanding of financial mathematics/statistics and application to risk modeling
- Degree in mathematics, physics, econometrics, statistics or engineering is preferred
- Professional qualification e.g. CFA, FRM, PRIMA would be an advantage
- Good understanding of financial and derivative products, and risk modeling. Strong foundation in Probability and Statistics
- Outstanding analytical and problem solving skills, and knowledge of risk management concepts and techniques such as VaR, Stressed VaR, regression and time series modeling
- Have experience/knowledge of market risk RWA modeling for example VaR/SVaR, CVA, etc.
- Proficiency in programming language such as R, Python, C++, Matlab
- Good MS Excel/ Access/SQL and VBA knowledge
- Strong presentation skills; able to document and communicate complex topics to a diverse range of audiences
- Willingness to question and challenge the status quo and ability to provide alternative approaches
- Dedication to fostering an inclusive culture and value diverse perspectives
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