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28-Jul-2022

Senior Officer, Quantitative Risk Modelling (40000801)

Category:  Risk Management Division
Job Type: 
Facility:  Risk Management

Job Purpose

The job holder responsible for:
Development, implementation and utilization of quantitative models and quantification approaches to support day to day risk functions for different risks in his domain as Market risk, Couterparty credit risk, Interest rate risk and Liquidity risk. She/He support independent research required for development of risk compliance quantitative models and quantification approaches along with testing and independent assessment to ensure their suitability for business requirement. He/She enables the deployment of models and guides others in the use of analytics to support risk quantitative analytics needs. He/She also involved in the conduct of analysis, modeling and compiles findings to draw insights and create report

Key Accountabilities (1)

Responsibilities

- Models (Pricing, Value-at-Risk, PFE, behavior, liquidity, regulatory capital)

- Testing frameworks (back-testing, stress testing, alternative model testing)

- Quantitative development across asset classes.

- You will also contribute to the Market and Liquidity Risk framework, and to feasibility studies for new products for the benefit of senior management

 

Key Accountabilities (2)

Key Accountabilities (3)

Key Relationships - Direct Manager

Senior Manager/Quantitative modeling

Key Relationships - Direct Reports

None

Key Relationships - Internal Stakeholders

GTS, Treasury, Audit, Risk management division, Technology and Operation CA and related party

Key Relationships - External Stakeholders

Consultant, vendors to provide consulting and techology service...

Success Profile - Qualification and Experiences

- Demonstrable 1+ years of work experience in risk modelling;

- Candidates would be expected to hold at least an MSc in a numerate discipline.

- Thorough knowledge of one or more risk model area's

- Background of statistics, econometrics, financial mathematics

- Modern programming languages and statistical languages (Python or R);

- Relevant qualifications such as FRM, CFA… would be a plus.

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