This is a role responsible for supporting the development and maintenance of risk models and methodologies for more accurate traded risk measurement and management. The core objectives are to:
* Develop/Enhance VaR, RNIV models in Rates as per internal risk and regulatory requirements especially in light of the IBOR transition programme
* Contribute to the improvement of these models through assessment of impact, model validation, and helping document changes for internal and external use
* Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose
* Proactively build tools in Python to test the proposed models, to formulate requisiste analysis and to measure the impacts of model change
* Be responsible for Model Life Cycle - starting from defining the objectives to model development/testing, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny Coordinate projects dedicated to ensure consistency across sites
- Assess and validate the performance of risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines.
- The risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Hair-cuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB), Capital Models
- Build python based prototypes and risk library
- Participate in adhoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion.
- Suggest improvements to the existing frameworks with a view to automate systems and help implement agreed changes
- Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the on-shore process team prior to implementation. Document all process changes and improvements to reflect the latest process
Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
Qualifications and Technical Skills
- Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in risk management
- Good understand pricing and risk management of Rates products
- Professional qualifications such as FRM/PRM/CFA Levels are an added plus
- Good understanding of statistics
- Python programming
Good understanding of market risk measures and derivative products
