Model Development_Market Risk
Core
Developing and maintaining market risk models (VaR, RNIV, IRC) and capital metrics for internal control and regulatory compliance under the IMA approach.
Role type
Senior quantitative model developer (market risk)
Builds
Production market risk models and capital metrics for the bank's banking arm and securities business
Domain
Banking / Financial Risk Management
Deliverable
production ML models
Required skills
Quantitative analytics, derivatives pricing, Python, R, Excel, VBA, statistical modelling, time-series analysis
Preferred skills
VaR/RNIV/IRC methodologies, stochastic calculus, C# or C++, FRM/CQF/CFA
Technologies
Python, R, Excel, VBA, C#, C++
Responsibilities
Develop and maintain market risk models, design and run model validation tests, specify and test system changes, improve operational controls, support business investigations, prepare summary reporting for committees
Seniority
Senior, hands-on IC
