Job Description
Main Duties and Responsibilities of Role:
The team activities are quite varied - here are some of the main ones:
- Develop the calculation methodologies for valuation adjustment models that account for the model risk uncertainty;
- Develop Trading Risk methodologies, such as Incremental Risk Charge (IRC/DRC), VaR scenarios specifications, Risk not in model (eg, for IRC and VaR models), Stress test;
- Develop Counterparty Credit risk models;
- Design model monitoring methodologies;
- Perform the production system implementation checks by comparing to your own benchmark implementation;
- Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the new products/pricing models in the existing risk frameworks, development of tools to provide insight into model choices, analysis of the methodologies used for P&L explainer or market data proxies.
Qualification/Education
Essential
-A PhD or a MSc in a quantitative field
Desirable
-Preferably in Mathematics, Econometrics or Physics
Experience/Knowledge
Esstential
-3-7 years of experience, with familiarity of derivatives pricing, risk models and the most important developments (eg CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, etc
-Working experience with programming languages
Desirable
-Interest rate and Inflation derivatives pricing and risk models
-C++ and/or Python experience
Personal Competencies
Essential
-Strong report writing skills and fluency in English
-Constructive attitude and pro-active team player