Modeler - Market Risk - BFS

Job Description - Modeler - Market Risk

Description :

Your responsibilities include:

- Develop models, ensuring theoretical soundness by employing advanced mathematical and statistical techniques

- Demonstrate independence in testing design and execution, results interpretation and presentation, and production of robust documentation

- Collaborate with colleagues across the world, and will regularly engage with partners such as business, senior management and regulators

- Play a role in the documentation and review of risk capture, sensitivities and data assets used in model

- Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture

- Ensure that models are adequately documented for both internal and external (e.g. regulatory) purposes

- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications

- Collaborate with Quant Strats internal and external teams on the development, implementation, and review of projections models

Your future colleagues :

- You will join the QS Projection Modeling team. You will be involved in the development and maintenance of comprehensive and consistent risk models for VaR/ Stressed VaR RWA projection and stress testing areas, meeting both internal management and regulatory requirements.

- We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global cultural values.

Qualifications :

To excel in this role, you should possess:

- Understanding of financial mathematics/statistics and application to risk modeling

- Degree in mathematics, physics, econometrics, statistics or engineering is preferred

- Professional qualification e.g. CFA, FRM, PRIMA would be an advantage

- Good understanding of financial and derivative products, and risk modeling. Strong foundation in Probability and Statistics

- Outstanding analytical and problem solving skills, and knowledge of risk management concepts and techniques such as VaR, Stressed VaR, regression and time series modeling

- Have experience/knowledge of market risk RWA modeling for example VaR/SVaR, CVA, etc.

- Proficiency in programming language such as R, Python, C++, Matlab

- Good MS Excel/ Access/SQL and VBA knowledge

- Strong presentation skills; able to document and communicate complex topics to a diverse range of audiences

- Willingness to question and challenge the status quo and ability to provide alternative approaches

- Dedication to fostering an inclusive culture and value diverse perspectives