Head of Calibration, Backtesting & Stress-testing – Johannesburg recruitment

This team will be located in Johannesburg and will be part of the credit exposure department.The candidate will play a senior role in a team, and responsibilities will include:Quarterly recalibration of the models used to measure counterparty risk and country risk (stochastic processes, Wrong-Way risk) and calibration of new underlyingsGeneration of risk factors and impact analysisBacktesting of these modelsStress-testing of the credit exposure based on different type of scenarios (historical/hypothetical/multi-asset/single-asset) and at different levels (counterparty, sector, country)Presentation Read more […]

May 19, 2012 • Tags: , , , • Posted in: Financial • Comments Off on Head of Calibration, Backtesting & Stress-testing – Johannesburg recruitment