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.

April 17, 2013 • Tags: , • Posted in: Financial

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