Assistant Vice President - Market Risk Models

Principal responsibilities

- Develop and enhance risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines.

- The market risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Stress Testing, Economic Capital, Incremental Risk Charge (IRC), Fundamental Review of Trading Book (FRTB)

- Participate in adhoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion.

- Suggest improvements to the existing frameworks with a view to automate systems and help implement agreed changes

- Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the on-shore process team prior to implementation. Document all process changes and improvements to reflect the latest process

- Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes

Qualifications

- Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in risk management.

- Basic understanding of market risk measures and derivative products

- Professional qualifications such as FRM/PRM/CFA Levels are an added plus

- Good understanding of statistics

- Python and Excel VBA skills are a pre-requisite, C++ is an added benefit

- Competent in the production of information, and the ability to process and analyse large volumes of data

- Ability to work under pressure and to tight time-lines is essential

- Open personality and effective communication skills, ability and flexibility to work in an international team

- Ability to write clear and understandable documents