Risk Methodology
The major responsibilities of this role relate to the development and specification of quantitative methodologies, which are used to measure market risk for various business cluster (e.g. Equities, Rates etc.), and has the following responsibilities for their cluster:
- Understand the products traded and trading strategies used.
- Identify all sources of market risk.
- Develop and specify the VaR model.
- Understand and monitor the VaR model's performance.
- Ensure that any risk not captured by the VaR model is measured within the Risks-not-in-VaR framework.
- Ensure that any significant tail-risk is highlighted to the Scenarios team.
- Support the development and specification of the Economic Risk Capital (ERC) model.
- Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.
- Collaborate closely with the data team to ensure that the historical data used in VaR or ERC calculations are appropriate.
- Collaborate closely with the Change Management team, to ensure that any changes to methodology are appropriately project-managed for implementation.
- Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes.
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