Quantitative market risk analytics specialist responsible for developing methodologies and managing analytics for risk models including value-at-risk, stress, and capital models.
Requirements
- Develop, test, implement and document models and risk analytics for new products
- Lead the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance
- Perform quantitative research to implement model changes, enhancements and remediation plans
- Work with stakeholders across business and functional teams during model development process
- Create tools and dashboards which can enhance and improve the risk analysis
- Conduct analysis on existing model short-comings and design remediation plans
- Maintain, update, improve and back-test risk models
- Analysis and governance of historical time series data
- Develop Market Risk Analytics platform
- Identify risk not captured by analytics, develop and implement methodology to quantify the materiality, and design strategic plan to better integrate and manage such risk
- Support discussion with regulators as a subject matter expert
Benefits
