Market & Counterparty Risk Modeller

An International Bank are looking for a candidate to join a newly created team to focus on the implementation of risk models across the bank.

Responsibilities:

• Develop, implement, test and document risk measurement methodologies across all markets/asset classes and across market and counterparty risk models.
• To support the implementation of a robust risk measurement and exposure capture framework for the purpose of effective risk management and regulatory capital calculation.
• Support implementation of risk models in the modelling and analytics platform.
• Work closely with Model Validation, Market Risk Analytics as well as other teams internally to collaborate effectively.

Skills required:

• Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics, physics, or financial engineering.
• Experience in coding in at least one language (preferably R, Python or C++)
• Previous experience in SIMM, stress testing and FRTB