VP Market Risk Market Data Manager recruitment
Job Summary:
The candidate will manage a small team responsible for the validation and maintenance of the new regulatory risk calculations in both the market and credit risk systems, including VAR model testing.
Responsibilities:
- Identify technically robust approaches to assessing the overall VAR modelling approach including strategies to minimise risks not in VAR
- Perform periodic model reviews with the Risk Managers to produce high quality model review
- Manage the delivery of market data projects in liason with the local Head of Market Risk
- Carry out regular assessments of proxied data series and critically review and challenge proxying decisions
- Undertake additional statistical analysis of time series as required
Skills/Requirements:
- University graduate B.Sc. /M.Sc. in a quantitative subject
- Excellent working knowledge of at least two different asset classes and some knowledge of derivatives
- Previous experience of managing or supervising a small team (1-2 people)
- Excellent analytical and problem solving skills and a good understanding of statistics
- Strong Microsoft Excel skills; ideally with some Excel VBA coding experience
- Experienced user of Bloomberg and Reuters and their tools for interrogating time series
- Some understanding of interest rate/yield curve and volatility models
- Time series analysis e.g. statistical arbitrage research
If you would like further details on this position, please contact me on the details below.
Vi-Linh Ha
Senior Risk Consultant
DD: +65 6470 1145
Email: vha@mcgregor-boyall.com
December 1, 2011
• Tags: Risk Management careers in the Singapore, VP Market Risk Market Data Manager recruitment • Posted in: Financial