Address
Form of workAs a member in Market Risk Analytics team, the role will develop, implement, test, and maintain quantitative models to measure Market Risk for trading book products across all asset class. Responsibilities include:
- Gain understanding of the current Market Risk model framework, perform model analysis and model parameters updates as required.
- Develop and enhance the current models and processes according to Model Risk Management Policy requirement.
- Contribute to the new model and process development for FRTB (the future Market Risk regulatory capital rule that will become effective in 2025), specifically the Non-Modellable Risk Factors (NMRF).
- Interact with stakeholders in model life cycle, including Market Risk managers (as model sponsor), front office data provider, technology (for model implementation), and model validation team. Interaction with regulators may be required.
- Provide support to risk managers and businesses on Market Risk model related topics.
Qualifications:
- Good quantitative skills with the knowledge and experience of building mathematical/statistical models
- Market Risk Modeling experience and financial engineering knowledge
- Good programming skills in programming language such as Python, Spark, R, C++. Familiarity with Windows and UNIX/Linux operating environment
- Big data experience and familiar with big data processing platforms
- Clear and concise communication skills, both written and verbal
- Self-motivated and detail oriented, capability to handle multiple projects at the same time
- Prior knowledge of trading book products and prior trading experience is a plus
- Team management experience is a plus
- 7+ years relevant experiences
Education:
- Master's Degrees (Ph.D.'s degree preferred) in a quantitative area.
