Profilo Market Risk Methodologies & Policies Specialist recruitment
About the role:
- Contribute to the development of the market risk methodologies, gaining exposure to the Market Risk and Markets technical infrastructure of entire Unicredit Group;
- Cooperate with Market Risk Architecture in prototyping systems for calculation of market and counterparty risk, gaining the exposure to the large-scale software development process;
- Manage and keep ownership of the Group-wide VaR, SVaR, IRC, CRM, CCR scenario generation methodology, stress tests risk factors clustering and shifting policy
- Develop the business requirements for systems calculating market and counterparty risks, gaining a throughout understanding of entire UniCredit Group’s market and counterparty risks modeling process at all major international locations;
- Cooperate with Internal Control Unit on initial and ongoing validation of the market risk model for regulatory purposes;
- Identify and propose actions to optimally exploit market risk capital mitigating features of the market risk system;
- Provide NBOs within the New Product Process on market and counterparty risk related aspects with special focus on impacts for the overall portfolio. Ensure inclusion of all relevant risk factors and compatibility with model features is attained;
- Provide NBOs to LEs on local market and counterparty risk model changes with respect to their interaction with the Group wide risk framework;
- Develop and maintain market and counterparty methodological documentation
- support the functions devoted to the relationship with the regulatory functions with analyses concerning the model development for market risk and market risk capital adequacy
Specific requirements:
- IT User Knowledge: Microsoft Office – experienced user;
- IT Skills: advanced Excel/VBA user;
- Programming Languages: Practical knowledge.
- Financial modeling: Understanding of pricing and market risk models.
- Degree or Master degree in a highly quantitative subject (Economics, Mathematics, Engineering, Physics and Statistics).
- Fluency in English
- Working experience: 0 – 5 years
As a major Financial Institution, UniCredit strive to think and act in a truly international dimension. We span 50 countries and give growth opportunities to people who share our excitement for constantly building on the diversity of our local roots and strong European presence.
UniCredit SpA is UniCredit Group’s holding that centrally coordinates, both in Italy abroad, the various activities of managing savings and providing credit. The Holding performance and command (directing), governance and control function for all the Group’s legal entities .
January 15, 2012
• Tags: Profilo Market Risk Methodologies & Policies Specialist recruitment, Risk Management careers in the Italy • Posted in: Financial