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  • 1 - 6 Years
  • Posted : above 1 month

Job Description:

Looking for 1 to 6 years of experience in Market Risk Analytics with good experience in any programming language

Responsibilities

Assist in defining and implementing all methodological improvements for portfolio market risk metrics This includes

- Perform regular calculations and analysis on model performance metrics for the VaR, Risk Not in VaR (RniV) and FRTB models

- Perform regular data quality review on inputs to market risk models

- Perform regular calibration on credit idiosyncratic add-ons to the VaR model

- Produce the VaR model performance packs for SCB Group and other key subsidiaries

- Testing production systems for VaR/ES model changes, system migrations and new products

- Assist in the development of VaR and RniV models

- Support risk managers in queries related to VaR and other portfolio risk metrics

- Maintenance and enhancements of existing VaR, stressed VaR, RniV and IRC models

Skills & Experience

The holder of the position must

- be educated to at least the level of an MSc in a quantitative scientific subject including statistics and a research element;

- have academic and/or professional experience in data analysis and simulation methods;

- have a good understanding of market risk and traded products;

- be able to communicate technical concepts clearly both verbally and in written documents;

-possess strong computing skills (programming skills desirable);

- be able to learn quickly;

- be able to forge good working relationships with his/her peers in the Singapore and UK;

- be able to work effectively with risk managers and other stakeholders

Profile Summary:

Employment Type : Full Time
Salary : Not Mentioned
Deadline : 07th Jun 2020

Key Skills:

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