Market Risk Manager (Analytics)
A leading foreign bank is looking for a Market Risk Manager to lead their Market risk Analytics team to enhance their portfolio market risk metrics and supervise the market risk platform.
- Assist in the development of market risk models and tools under current frameworks such as IMA and FRTB
- Develop Risk Not in VaR (RniV) measures, and maintain existing VaR, stressed VaR, RniV and IRC models
- Provide technical guidance and expertise on Market Risk Model related matters
- Perform hypothetical backtesting and P&L attribution test (PLAT).
- Support risk managers in all queries related to VaR and other portfolio risk metrics
- Coordinate with key business stakeholders on Market Risk Model changes
- Keep abreast of local and global regulatory requirements and be aware of market practices that will impact portfolio risk metrics
- Master's Degree in Statistics, Science or relevant quantitative field
- At least 6 years' relevant experience in portfolio market risk metrics, analytics, and risk modelling
- Experience in model development
- Proven ability to assess strengths and weaknesses of VaR modelling approaches
- Ability to work with key stakeholders and risk managers
- Strong proficiency in Python, C++ etc
- Candidates who require workpass need not apply
If you believe you fit the requirements for the role, please click APPLY NOW or drop an email to Selicia.email@example.com. Data provided is for recruitment purposes only. Business License Number: 200611680D. EA Registration Number: R1767640
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