AVP, Market Risk Methodologies
Marc Ellis Consulting
Abu Dhabi, ae
منذ 29 يوم

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.

  • Implement and run the Market Data Integrity controls in conjunction with Middle Office;
  • Review the Middle Office reports on the Market Data controls;
  • Manage the escalation process triggered by the controls;
  • Review the change and impact analysis;
  • Maintain and periodically review Market Data sources documentation

    Develop tools or spreadsheets for the calculation of risk metrics : VaR, PFE, etc.

    Requirements

    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

    Benefits

    Single status Visa (doesn’t cover your Family)

    Health Insurance (for yourself) doesn’t cover your Family

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