Recruitment Sourcing Manager at Allegis
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Assistant Manager - Market Risk Modeling/Validation - BFSI (3-6 yrs)
Support the manager in the following duties:
- Perform activities pertaining to First Line of defense based on the Model Risk Management Framework for traded models:
- Support Model users
- Model development based on best industry practice
- Model validation
- Model calibration and monitoring
- Assist the Risk steward functions in second line of defense activities
- Model documentation in line with SABB standards
- Maintain the WRM model inventory up to date
- Assisting in conducting New Product Due Diligence from a Traded Risk perspective.
- Support all governance forums by providing timely inputs and escalating issues when required.
- Provide model risk expertise of Traded Risk Products of SABB, working in conjunction with Product Controls, Front Office, Global Markets Operations and other support and control functions.
- Participating in the model development cycle in conjunction with BAs and system owners
- Support the model reviews by IMR, Internal and external Audit as well as regulatory visits. Implement the findings in a timely manner.
Qualifications - External
What you will need to succeed in the role:
- Strong quantitative background, with a degree (Masters/PhD preferred) in Statistics/ Econometrics/ Economics/Mathematical Science/Engineering/Finance. Fresh graduate can apply.
- No Minimum of years of relevant experience. Preferred range will be between 0-2 years in either model development or model validation or model management.
- Good understanding of pricing, valuation, VaR, XVA, PFE
- Some knowledge on the products covered: Loans & Deposits, Bonds, FX (Spot, Option, FX Swap, Non Deliverable Forward, Forwards), Rates (IRS, FRA, Options (Caps & Floors)), Cross Currency Swaps, Islamic Market Linked Deposit
- Academic knowledge or working experience on at least one of the following models: Black, Hull-White model (1 factor), Garman-Kohlhagen.
- Good programming skills (VBA, MATLAB, Python etc.) in order to replicate the models (for validation etc.) or making proof of concepts. Knowledge of numerical methods applied on these models is a definite advantage.
- Knowledge of MUREX will be a competitive advantage.
- Ability to collaborate and communicate effectively, including within onshore / offshore team set-ups.
- Ability to drive results in a limited time duration and handle constant work related pressure.