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09/12 Mayuri Deb
Consultant at Pylon Management Consulting Pvt Ltd

Views:1656 Applications:163 Rec. Actions:Recruiter Actions:162

Market Risk Analytics/VaR Modeling Role - Python/R/SAS (1-6 yrs)

Bangalore Job Code: 773686

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.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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