Mkt Risk Validation
Main Activities:
- Supports the organizations decisions in the use of Front Office and Risk Models
- Monitor and assess the actions taken to cover the issues and recommendations made in the appraisals.
- Interact with modeling, business and trading functions to perform the appraisals;
- Interact Globally to find solutions and benchmarking for the local examinations;
- Interact with financial industry organizations and working groups and the local regulator
- Contribute with new approaches, methodologies and testing tools to improve the revision of models.
- Discuss and share with the team statistical methodologies, modeling best practice and knowledge of the organization's business.
- Review the reports prepared by junior members of the team
- Ensure that the model reviews are performed according to internal standards
- Preserve the independence on the reviews
- Ensure that the model review tools follow the internal information security and access standards.
Major Challenges:
- Track the requirements of the regulatory environment: Central Bank, OCC, PRA, BIS.
- Gather experience and broad knowledge about modeling and business environment.
- Operate remotely, since the structure and the business maybe located in different sites and geographies.
- Reconcile model review with good relationships with the modeling and business areas.
Qualifications:
- Background in Statistics, Mathematics, Economics, Finance or Computer Sciences. Ph.D or MS preferred.
- Experience with derivative product modeling in Front Office and regulatory modeling for Market Risk models.
- Experience with local (Brazilian) financial market instruments and market conventation.
- Knowledge in the regulatory environment and modeling requirement: Central Bank,Basel
- Excellent verbal and written skill in both Portuguese and English. Experience in professional documentation.
- Strong quantitative skills and analytical capacity..
- Organized, detail-oriented and self-motivated. Work hard, smart, productive, business driven, be able to delivery under pressure. Good team player
- Knowledge or programming skills in VBA, C/C++, Matlab, SAS are plus.
Para saber mais sobre a Huxley Associates, visite-nos em www.huxley.com
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