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.
- 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.
- 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