Market Risk Methodology
There are potentially three positions available: two in VaR Methodology and one in Economic Capital Modelling. The hires will be made at either Vice President or Assistant Vice President levels.
An important assignment being undertaken by the Market Risk Methodology team is to redesign the VaR model completely for all asset classes (away from Monte Carlo and towards Historical Simulation). This project has sponsorship from the Board and is therefore high in visibility.
In addition to developing VaR methodologies, the main responsibilities in the role will include:
- Interaction with market risk managers for the identification of VaR model improvements.
- Analysis of market data time series, financial products and their valuation.
- Fully documenting and evidencing designed methodologies.
- Advising and accompanying IT implementation of the model changes and development of dedicated downstream systems.
- Support of model validation function and back testing processes.
- Coordination of VaR model change process.
The successful candidate will take ownership of individual methodology development items, from upfront analysis phase and model description to functional specifications and UAT.
During the front-to-back development, various stakeholders have to be involved, and following will be critical:
- Agree an approach with, and get acceptance, from the Risk Managers.
- Ensure industry best-practice by developing a rigorous challenge process.
- Regularly check feasibility of implementation approach with IT.
- Estimate upfront VaR and capital impact.
Other tasks will include:
- Confirmation of assumptions and parameters which underlie the VaR process.
- VaR and capital impact studies for acquisitions and “what-if” scenarios.
- Documentation of methodology.
- Preparation of senior management presentations.
- Training of junior colleagues.
Candidates must have:
- Sublime interpersonal and communication skills. You will be able to influence people both in person and in writing. You must have the ability to explain mathematical concepts and results in layman's terms.
- Relevant prior experience: good familiarity with pricing models and their usage and limitations when used under an historical simulation VaR framework; experience of working with financial products; at least one programming skill (C++/Java/VB); statistical packages (Matlab/SAS) usage experience; background in facing off to market risk managers.
Applicants:
- Please send your CV to: louis.altman@investigo.co.uk
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