Market Risk Role - VaR - KPO/Research

The role will be indeed for Markets, so neither Retail or Wholesale.

The models that will be in scope will be :

- Counterparty Credit Risk models

- Traded Risk models (VaR in particular)

- Derivatives Pricing models to some extent: the role will not be working on them directly, but the two above model families rely on pricing models internally.

- Must have background in financial mathematics knowledge such as stochastic calculus, derivative pricing, numerical methods, probability theory.

- Candidate should have experience of derivatives within Front Office or model validation team.

- Proficiency in Python, Matlab and MS Office tools like Excel & PowerPoint

- Candidate should have understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as OCC guidelines and OCC 11-7.

- Strong knowledge of financial instruments/derivatives in one or more asset class like Equity, Interest Rates, FX or Credit