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Senior Risk Quantification Specialist
1 month ago
Key Responsibilities:
• Review and validate model assumptions and implementation.
• Develop and implement independent tests to ensure model accuracy.
• Recommend appropriate model reserves to mitigate model limitations and assumptions.
• Enhance existing Market Risk Models used for Value-at-Risk (VaR), Expected Shortfall (ES), and risk monitoring in various asset classes, including Interest Rates (IR), Foreign Exchange (FX), Equities, Commodities, and Credit.
Requirements:
• Strong understanding of risk modeling and quantification principles.
• Proficiency in programming languages and risk modeling tools.
• Excellent analytical and problem-solving skills.
• Ability to work in a team environment and communicate complex ideas effectively.