Market Risk Analytics – AVP/VP recruitment
The team is in charge of the definition of methodologies for portfolio market risk metrics, in particular VaR, supervision of the market risk platform and compliance with regulatory requirements. They are looking for a candidate who understands principles of market risk and is able to interpret any new regulations relating to risk methodologies.
Responsibilities include:
- Assist in defining and implementing all methodological improvements for portfolio market risk metric.
- Creating explanatory methods and related tools to analyse VaR and other metric better
- Testing new pricing models in risk metrics before they are released into production
- Producing reports on model performance, such as quarterly VaR model performance reports
- Support risk managers in all queries related to VaR and other portfolio risk metrics
Skills required:
- Educated to at least the level of an MSc in statistics, probability or equivalent work experience
- Academic and/or professional experience in data analysis
- Sound judgment in assessing the strengths and weaknesses of modelling approaches
- Experience with simulation methods
- Ability to communicate technical concepts clearly
- Ability to work effectively with risk managers and other stakeholders
- Sound judgement in assessing the strength and weaknesses of modelling approaches.
If you would like to apply for this role or find out more, please apply online or contact Anna Purves at Robert Walters on 0207 509 8745 or anna.purves@robertwalters.com quoting the Job Reference 1569510/APC
January 1, 2012
• Tags: Market Risk Analytics – AVP, Risk Management careers in the UK, VP recruitment • Posted in: Financial