Market Risk- VaR Methodologies/ Enhancements
The candidate's responsibilities will include:
i) Testing Value-at-Risk methodology enhancements
ii) Explain both qualitatively and quantitatively the impact of the proposed VaR enhancements
iii) Produce statistical analysis of times series
iv) Production of ad-hoc testing tools mostly relying on excel and VBA.
v) Produce a testing pack and maintaining a testing log.
vi) Liaison with various IT, risk and quant departments
vii) Support and cover for the market risk management team
Person Specification:
· Professional or Post-Graduate qualification in a quantitative discipline
· 2+ years experience in a market risk, product control role dealing with FX interest rates products
· Advanced Excel skills with VBA programming ability
· Knowledge of cash and derivatives products in FX
· Ability to work independently with good communication skills (written and verbal)
· Organised and details oriented with familiarity of risk drill down / analysis for a Global FX Rates book
www.badenochandclark.com - Let's find the career that connects with your life.Badenoch Clark is acting as an Employment Business in relation to this vacancy. Badenoch Clark is an Equal Opportunity Employer and a registered Disability Symbol User.
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