Market Risk - Market Data Risk Methodology Senior Specialist
Core
Developing quantitative risk models and methodologies for commodities/energy market data to calculate market risk metrics like Value-at-Risk (VaR) and Economic Capital.
Role type
Senior quantitative risk modeler (market data methodology)
Builds
Quantitative risk models, historical time-series data, and analytical tools for commodities/energy business units.
Domain
Financial services, market risk, commodities/energy
Deliverable
production ML models | product features
Required skills
Quantitative modeling, statistical analysis, financial pricing models, numerical coding, data quality assessment, back-testing, proxy methodology development
Preferred skills
Expertise in commodities/energy asset classes, knowledge of FRTB frameworks
Technologies
Matlab, Python
Responsibilities
Create and document quantitative risk models for commodities/energy; Develop proxy methodologies for missing historical data; Validate model choices with theoretical proof and empirical evidence; Recalibrate model parameters and scaling factors for VaR and SVaR; Conduct theoretical backtesting for internal models; Develop automated analytical tools for robust testing processes.
Seniority
Senior, hands-on IC