Market Risk Modelling Role - CCR Modelling - Derivatives Domain - KPO

Strong knowledge on any of the following two areas:

- Financial instruments across asset classes and their pricing methodologies - equity derivatives, fixed income derivatives, credit derivatives

- Market risk model development or validation, enabling a clear understanding of the modelling skills required for regulatory risk modelling for market risk, CCR modelling and stress testing, as applied to the trading books. This would include an exposure to VaR/Expected Shortfall, IRC/ DRC, RNIV,XVA capital framework, PnL Attribution and SIMM models in the context of Dodd Frank and FRTB regulations

- Understanding of broad risk regulatory landscape - across lines of defences

- Ability to engage with a wide variety of senior client stakeholders - CROs/ Heads of Model Risk, Heads of Credit Risk, Heads of Validation/ Market Risk etc.

- Strong verbal and written communication skills

- Needs to be very proactive, self-starter and have the ability to multi-task Excellent verbal, written

- Knowledge of quantitative methods - time series analysis, PDE, stochastic calculus

- Excellent quantitative modelling, research, and programming skills (R, SAS, Matlab, C++)

- Certifications such as CQF, FRM and CFA will be a plus