RISK METHODOLOGIES ECONOMETRIC SPECIALIST recruitment
Risk Methodologies Econometric Specialist
His/her primary duties and responsibilities will include the following activities:
ØContribute to the development of the market risk methodologies
ØManage and keep ownership of the Group-wide VaR, SVaR, IRC, CRM, CCR scenario generation methodology, stress tests risk factors clustering and shifting policy
ØDevelop the business requirements for systems calculating market and counterparty risks, gaining a throughout understanding of the Group’s market and counterparty risks modeling process at all major international locations;
ØCooperate with Internal Control Unit on initial and ongoing validation of the market risk model for regulatory purposes;
ØProvide 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;
ØCooperate with Market Risk Architecture in prototyping systems for calculation of market and counterparty risk, gaining the exposure to the large-scale software development process;
ØIdentify and propose actions to optimally exploit market risk capital mitigating features of the market risk system;
ØDevelop and maintain market and counterparty methodological documentation
To perform this job successfully, the ideal candidate will have:
- an advanced academic degree in Science (Physics, Mathematics) or Technology (Computer Science, Engineering) and excellent grades, PhD would be an asset.
-3 plus years of relevant experience in the analysis of financial time series, design and fitting of financial models to market data, statistics testing
-experience in data mining, manipulation and analysis of large data sets
-Proven software development experience (preferably in object oriented programming language)
-Fluency in English.