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.

Key Responsibilities:

• 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

Key Requirements:

• 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.low@ambition.com.sg. Data provided is for recruitment purposes only. Business License Number: 200611680D. EA Registration Number: R1767640