The Methodologies group within Quant Risk management division has the mandate to develop / enhance risk models in line with internal and regulatory requirements.
Some of the tasks / assignments that members of the Methodologies team would be expected to carry out:
- Conceptualization of Value at Risk (VaR), Incremental Risk Charge (IRC), Comprehensive Risk Model (CRM) and other risk models
- Development of proto-type models
- Liaise with Model Validation on model risk issues
- Provide inputs regarding Time Series usage
- Implementation of regulatory requirements within the existing platform
- Estimation of parameters (such as Volatility & Correlation) for the models
- Testing and Documentation
- Partnership with technology to translate quantitative requirements into the risk systems.