Risk Model Validation Analyst Robert Half Technology
The Company
Our Client, a leading European Bank, is one of the largest banking and financial services institutions in the world with presence in more than 80 countries. They provide a comprehensive range of financial services: personal financial services; commercial banking; corporate, investment banking and markets; private banking; and other activities.
Risk Model Validation Analyst
(Singapore)
Responsibilities:
The Role
The Central Market Risk (CMR) has recently issued a set of “Group Guidelines for Ongoing VaR Model Testing” that covers both routine model checks and periodic model review. A team is being established within Market Risk area in order to undertake the specified testing. This Role Profile is for a member of that team who will focus on market data, and it will be based in Singapore. Value added arises from ensuring that we are compliant with the relevant sections of BIPRU and from identifying and remediating potential weaknesses in the VaR model, thereby improving internal risk management capabilities. The role should also help to reduce the number of risks not in VAR (RNIVs), for which there are punitive risk capital charges, and so will lead to a reduction in regulatory capital held.
Requirements:
Your Profile
The ideal candidate will have a solid mathematical and statistical knowledge, with a good first degree in maths, physics, engineering or similar. Experience of time series analysis a definite plus. Cross asset class knowledge, with some understanding of market conditions (volatility, extreme price moves) in multiple asset classes. Knowledge of derivatives important, familiarity with interest rate/yield curve and volatility models useful. A Understanding of VAR and VAR methodologies, and some knowledge of regulatory requirements, particularly FSA, EU/CRD and Basel/BIS and the ability to review and in particular challenge business processes, methodologies and assumptions, and to write reports that review, criticise and suggest improvements.
Apply Today
Please send your resume, in WORD format and quote reference number JP7224a, by clicking the apply button. Please note that only short-listed candidates will be contacted.
