We are looking for a Market Risk Analyst for a 12-month Contract.
Hourly Rate: 50-65/hr
Brief Project Description:
- The team is responsible for developing, maintaining, documenting and monitoring the performance on an ongoing basis of market risk models across various asset classes (includes fixed income, interest rate derivatives, equity, and foreign exchange). This including ensuring that the model's underlying methodologies are appropriate and that the models are implemented with integrity so that they accurately measure the bank's market risks.
- The primary focus for this role is our Monte Carlo Debt Specific Risk model as well as the development of tools in Python to assess and monitor model performance of our market risk VaR model. There will be opportunities to get involved in other models across various asset classes over the course of the contract.
Project Name: Market Risk Models Development and Maintenance
- Develop and maintain models used for the measurement of market risk (VaR, SVaR, Risk Not in VaR, stress):
o Work with model users to understand the modeling requirements.
o Understand the features of the products being modeled.
o Make recommendations on model methodologies and implementation details.
o Provide business requirements and user acceptance criteria to IT, and validate implementation using benchmark models which have been developed.
o Document and work with internal validation to facilitate approval of models.
o Develop tools to assess and monitor model performance, including assumptions and limitations, on an ongoing basis for reporting to the various model monitoring governance committees.
o Investigate and remediate modeling issues identified through ongoing monitoring or by internal validation.
o Recalibrate models on a regular basis.
o Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of the results in models whitepapers and annual assessments for review by internal validation.
- Masters in Financial Engineering, or a degree in another quantitative subject such as physics, statistics, mathematics or mathematical finance and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.
What program/technology/software knowledge is essential for this role and in what capacity will the successful candidate be using it?
- Python, MatLab, Excel and SQL will be used for model development.
Must Have Skills/Experience (in order of priority):
- Strong analytical and problem solving skills
- Excellent programming skills (e.g., Python, MatLab)
- Data management and analysis skills (SQL and Excel required)
Nice to Have Skills/Experience:
- Broad product knowledge across various asset classes and knowledge of regulatory & internal risk management requirements for market risk.
- Ability to work collaboratively to achieve team goals
- Agility to adapt to changing circumstances in a dynamic environment
Languages: Strong English communication skills, both written and verbal, especially in the explanation of complex modeling concepts to senior management and regulators.
Thank you for your interest.