Senior Quantitative Risk Analyst (Market Risk)
Selected candidates would be part of the team tasked with the definition of methodologies for portfolio market risk metrics, in particular Value at Risk (VaR) and Expected Shortfall (ES), and supervision of the market risk platform and compliance with regulatory requirements.
Selected candidates would be required to assist in defining and implementing all methodological improvements for portfolio market risk metrics, which includes:
- Creating explanatory methods and related tools to analyse VaR and other metrics, and solve VaR/ES model issues with practical ideas
- Performing back-testing analysis and other statistical ex-post tests, including Quantitative User Acceptance Tests for VaR and ES
- Testing new pricing models before they are released into production, and produce and interpret reports on model performance
- Supporting risk managers in all queries related to VaR and other portfolio risk metrics
To be shortlisted for the role, you would:
- Hold a Ph.D M.Sc in theoretical physics or relevant scientific/quantitative based subject other discipline combining modelling, mathematics, computer programming and practical calculation methods
- Have experience and skills in managing the work of others and reporting/planning progress, including the ability to effectively communicate technical concepts
- Have experience with ambient regulatory regime wrt models e.g. Basel II.5, and academic and/or professional experience in data analysis
- Have experience with simulation methods with strong computing skills, and Sound judgment in assessing the strengths and weaknesses of modelling approaches
- Experience dealing with regulatory agencies such as FSA / MAS / HKMA
- Have the ability to learn quickly, and forge a good working relationship with his/her peers in Singapore and other locations, including working effectively with Risk Managers and other stakeholders
Good communication skills and sound judgement in assessing the strength and weaknesses of modelling approaches would be considered important tenets for this role.
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