Market Risk VAR Methodology
Overview:
A market risk specialist is required to support the VAR methodology team. This is a long term contract which will vary from 9 to 18 months.
Job Duties:
• Document new or changes to VaR methodology, which must be comprehensive and include all the work performed above.
• Help with the VaR methodology development and VaR implementation in the system with the Technology team.
• Perform implementation testing and document testing note.
• Identify risk-not-in-VaR (RNIV) and portfolio-not-in-VaR (PNIV) by working with MRM, MO, and QR.
• Quantify VaR impact arising from proxy or illiquid market data, RNIV, PNIV, model limitations, or changes in VaR methodology.
• Keep abreast of the latest development in the internal Model Risk Policy and governance, external regulations, rules, and supervisory guidance for VaR models, and be responsible to keep the VaR models and development processes in full compliance to these requirements.
• Maintain a robust VaR model control framework: develop the best VaR methodology with supporting analysis, perform adequate testing to ensure correct implementation, lock-in implementation to prevent unauthorised changes, document new or changes to VaR methodology, seek independent MRaD model review and approval before release VaR into production, obtain external regulators approval if required by the rules, regularly reassessing the effectiveness of current methodology and the integrity of the market data, and enhancing VaR methodology as market condition changes.
• Identify and maintain a list of inconsistent VaR methodology for the same products across the firm, different system platform in generating PnL vector for VaR (MaRRS, Athena, Prada, Endur, Offline), and different set of market data; establish control around these differences and quantify their VaR impacts.
• Maintain a comprehensive inventory of RNIV, PNIV, proxy and illiquid market data, model limitations, and disapproved valuation models; and assess their VaR impacts and compute regcap add-on where required.
• Establish compensatory risk control (working with MRM) for products with VaR models which have material shortcomings. The control may include setting limit based on position size or stress testing.
• Ensure all relevant market risks are fully captured in VaR by regularly monitor the VaR and risk reports and constant dialogue with the MRM, FO and Controllers on the risk taken by the businesses.
• Fully understand the key risks driver for VaR at product, business and firm-wide levels, and communicate to MRM colleagues and senior management any potential risk coming from VaR number for risk management purposes.
• Perform research and development for the best VaR models, and to extract key risk information from the VaR numbers.
Skills/Qualifications:
Degree qualified in either Econometrics, Statistics, Maths, Physics or IT
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