Economic Capital Modelling and Stress Test Methodology
Responsibilities
Researching techniques for modelling market risk Economic Capital.
Development of new stress testing methodology for market risk models.
Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose.
Effective communication within the wider Risk Modelling team
Assisting other functions aligning risk measures
Establish and maintain strong working relationships with key stakeholders
Identification of gaps in risk models and approaches to mitigate
Ensure effective on-going validation
You must have the following skills and experience to be considered for this role
Strong econometric and analytical skills.
Masters level in Math/Science/Engineering discipline
Previous experience in quantitative modelling
Experience in Market Risk Economic Capital or Stress testing
VBA / C++ / Matlab
Empiric Solutions is acting as an Employment Agency in relation to this vacancy.
Leave a Reply
You must be logged in to post a comment.