Head of VAR recruitment

Introduction

A global financial institution is seeking a senior VAR(Value At Risk) to focus on managing the team in charge of the definition of methodologies for portfolio market risk metrics, in particular VaR, and supervision of the market risk platform and compliance with regulatory requirements.

Responsibilities

To define and implement all methodological improvements tied to VaR model. This covers the General Market Risk VaR model, the Specific Risk VaR model and the Incremental Risk Charge model.

To take ownership of and improve other portfolio market risk metrics.

To define and implement analysis tools for VaR and other portfolio risk metrics.

To define and implement and maintain effective controls around VaR model.

Qualifications

- Possess at least an MSc in mathematics, physics or engineering level.
- Possess excellent analytical skills and in-depth knowledge of VaR and IRC methodologies.
- Must be familiar with key regulatory requirements related to VaR.
- Sound judgement in assessing the strength and weaknesses of modelling approaches.
- Significant previous experience developing or validating interest rate and credit risk models.
- Good relational skills to communicate issues to the front-office and GMR management.

 Please send your Cv to ellen.lee@robertwalters.com.sg