Data Scientist Control Manager (Ciudad de México, Cuauhtémoc)
Core
Developing and reviewing structural risk models for the bank's balance sheet positions and validating valuation results for derivatives.
Role type
Senior quantitative data scientist (derivatives & structural risk)
Builds
Production risk models and valuation parameters for Global Markets derivatives
Domain
Banking / Financial Risk Management / Derivatives
Deliverable
production ML models
Required skills
Python, MATLAB, structural risk modeling, derivative valuation, market risk methodologies, counterparty risk methodologies, mathematical foundations, statistical analysis
Preferred skills
liquidity risk methodologies, new product validation
Technologies
Python, MATLAB
Responsibilities
Develop and review structural risk models for balance sheet positions; Validate valuation and sensitivity measurement results for derivatives; Define methodologies for generating market valuation parameters for derivatives; Review derivative configuration in systems for correct valuation and risk measurement; Identify risks associated with new products; Update area methodological frameworks
Seniority
Senior, hands-on IC
