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The role is a pivotal part of the Risk Analytics team and an essential part of the Risk department for ICBCS. This team has the primary responsibility for the analytics used in the risk department.
Frequent interaction with the Model Validation team is to be expected, but also with the Risk Type heads (Head of Market Risk, Credit Risk, and Operational Risk) and the Risk Managers.
The Analytics team is expected to look beyond the correctness of the model from a mathematical and implementation perspective. Essential is to provide a robust risk framework adapted to the situations and markets the bank operates within.
Practical knowledge is therefore required, in addition to excellent theoretical understanding of the Risk Models.
Technical skills required:
Strong practical and theoretical risk modelling knowledge including statistical and stochastic modelling techniques used in VaR, SVaR, Back testing and Stress Testing, CCR Modelling;