MARKET RISK METHODOLOGIES & ARCHITECTURE SPECIALIST recruitment

Within the Group Trading Risks department we are looking for candidates for the “Market Risk Policies, Methodologies Architecture ” unit.

Key tasks responsibilities

• Contribute to the development of the market risk methodologies, architectures and processes, gaining exposure to the Market Risk and Markets technical infrastructure of the company;

• Manage, Operate and keep ownership of the Group-wide VaR, SVaR, IRC, CRM, CCR , CVA  methodologies, stress tests risk factors clustering and shifting policy;

• Develop the business requirements for systems calculating market and counterparty risks, gaining a throughout understanding of entire company’s market and counterparty risks modeling process at all major international locations;

• Identify and propose actions to optimally exploit market risk capital mitigating features of the market risk system;

• Cooperate with Internal Control Unit on initial and ongoing validation of the market risk model for regulatory purposes;

• Support the functions devoted to the relationship with the regulatory functions with analyses concerning the model development for market risk and market risk capital adequacy.

Qualification Competencies

• Advanced academic degree in Science (Physics, Mathematics) or Technology (Computer Science);

• Knowledge of object oriented programming (Java or C#/C++) and proven software development experience in large-scale projects;

• Experience in data mining, manipulation and analysis of large data sets;

• Relevant experience in financial markets, risk management, risk technologies.

Our Offer to You

• Broad exposure to market risk modeling issues for a variety of asset classes. Exposure to challenging quantitative problems and development of quantitative skills as well as product and market knowledge;

• Strong interaction with risk managers in various areas of the firm, with a broad range of internal clients (e.g. CIB Markets, Capital Management, Organization, Internal Audit, etc) and external stakeholders (i.e. Bank of Italy, Bafin/Bundesbank, etc);

• Dynamic team work environment, clear department goals, and access to senior department managers.

It's mandatory to provide your salary expectation together with your resume to be considered for the position.

The position is based in Milan, Italy.