Leading Bank requires an experienced Market Risk specialist, The candidate must be an undergraduate specializing in Mathematics/ Statistics/ Engineering with over 7 years’ experience in market risk management - Review ad-hoc investment/trading proposals from Global Treasury (which are not part of the annually approved limits), perform a holistic risk analysis and submit to ALCO/BRC with T & FMR’s recommendations.
Display high level of proficiency in the market risk engine (QRM) and working closely with the Head of Quantitative Analytics on changes/ updates to the system and maintenance of QRM toolkit.
Calculation of the Market Risk Capital charge using the VaR engine (QRM) on a quarterly basis.
Areas of Knowledge / Experience
· Protected content instruments and risk measurement methods and models.
· Protected content and simulation methods.
· Protected content Risk quantitative methods.
· Protected content and Liquidity risk measurement.
Please email CV to Protected content