- Work alongside the VaR team to improve the calculation of Counter-party Risk
- Assist with analysis and closure of model validation tasks and for models for which the team is responsible
- Review the results of the back testing process, liaising with internal teams to understand and analyze exceptions from a PnL and VaR perspective
- Identify opportunities to streamline and automate daily manual processes, and work with Risk IT to implement these improvements.
- Working on ad hoc projects to improve productivity and efficiency
- Managing a team of 10 people, which includes day to day activities, escalations and also career progression
- Minimum of 9 years of experience in the risk space, with at least 7 years in the Market risk space
- Good knowledge of VBA & SQL, along with thorough knowledge of MS Excel and Access
- Should have experience with OTC Derivatives (credit, equity, loans, etc).
Having a working knowledge of Basel regulations is a plus
- Should have experience on working on pricing models such as:
a) Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)
b) Market Risk (or Counterparty) historic VaR calculations
- Advanced degree from top tier university in Mathematics, Statistics, Economics or Finance. FRM & CFA candidates are preferred
- Experience in project management is an additional advantage