Brief Project Description:
The role will support Senior Director in the Incremental Risk Charge (IRC) model, documentation of the existing processes and sub-models, independent testing of models and frameworks and preparation for Enterprise Model Risk Management (EMRM) submissions. It will also carry out model maintenance including calibration and monitoring. The role will also participate and drive key FRTB related initiatives, such as Default Risk Charge under the Standardized Approach (SA) and Internal Method Approach (DRC IMA), assisting and supporting development, implementation and testing, and documentation submission.
The Global Risk Analytics (GRA) group has primary responsibility for methodologies related to the measurement of market and counterparty credit risk. This includes leading the specification, implementation, performance monitoring and maintenance of these methodologies. This role is specifically focused on market risk models.
- Develop market risk methodologies for capital markets. This is focused on Incremental Risk Charge (IRC) and Default Risk under the Internal Model Approach (DRC IMA).
- Responsible for model development and support of the BAU IRC models, which include among others a monte-carlo model and bond and CDS pricing models.
- Analysis and investigation of issues in the production of IRC, working with both Risk IT and other teams in the Enterprise Market Risk team to provide timely resolution.
- Maintain and update IRC calibration processes as well as monitoring of issues and limitations of the IRC model.
- Work with Enterprise Model Risk Management (EMRM) to ensure the monitoring and documentation of models is appropriate and in compliance with policy.
- Support the on-going development and implementation of DRC SA model, which includes both the Non-securitized and Securitized framework.
- Responsible for model development for the DRC IMA model including calibration of the model parameters.
- Prepare and update of DRC model requirements for Risk IT as required.
- Develop, test and validate the DRC models in collaboration with Risk IT during the implementation stage, as well as on-going support after the initial build stage.
- Preparation of Model White Papers (for IRC and DRC IMA models) for new submission and re-submissions to validation, which includes model performance evaluation and data validation to ensure that the model meets all regulatory requirements, internal governance standards, and conforms with industry best practices.
- Strong and committed team player, having the ability to deal with the changing needs of the business through effective teamwork and communication.
What program/technology/software knowledge is essential for this role and in what capacity will the successful candidate be using it:
- Proficient in computer skills including Python, Matlab, SQL, Excel VBA.
Must Have Skills:
- 1-2+ years of experience in Financial Markets. Post grad degree with a quantitative focus i.e. MSc in Mathematical Finance or Applied Sciences.
- Excellent verbal and written communication skills.
- Strong data analytic skills with complex data set.
- Self-motivated individual with a high level of analytical capabilities and attention to detail. Exceptional analytic and problem solving skills.
- Thorough knowledge of market risk, securities and derivatives as well as their associated risks.
Please apply with the word format of your updated resume.