Assist the team in the model validation.
Review VaR, ES and risk monitoring in the following asset classes : IR, FX, Equity, Commodity and Credit.
Develop and implement independent models to benchmark production models.
Document the performed analysis, testing and finding
Circulate the corresponding reports to model Users and the relevant stakeholders
Monitor the valuation methodologies, and specify the internal valuation methodologies
Approve the market data used for valuation and for risk systems
Develop model risk analysis tools, such as back testing tools, to support ongoing model validation.
Maintain and periodically review Market Data sources documentation
Develop tools or spreadsheets for the calculation of risk metrics : VaR, PFE, etc.
A higher academic qualification (BSc, MSc.) in finance, econometrics or maths
Knowledge in risk management
Good knowledge of the asset classes (FI, FX, commodities, equities, hybrid derivatives)
Knowledge in programming e,g. VBA, Python, etc.
Work experience of 2-7 years in Risk management / Market Risk or Business Analysis
Ability to work accurately under pressure to tight deadlines.
Experience Market Risk / Trading systems including Bloomberg, Reuters, Murex or similar
Good communication, presentation and writing skills
Knowledge of Murex, Numerix and / or coding skills in C++ / Matlab would be a distinct advantage
Single status Visa (doesn’t cover your Family)
Health Insurance (for yourself) doesn’t cover your Family