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The team is responsible for the development of market risk methodology and market risk models which feed directly into the firm's internal and regulatory capital calculations and risk management frameworks.
The role will cover all asset classes and will be reporting directly to the Head of Market Risk Analytics. We seek candidates with a strong desire to learn and the ability to work well at both the regional and global level.
Core responsibilities include:
Development, enhancement and maintenance of market risk models (VaR, Stressed VaR, IRC, CRM and RNIV) to ensure ongoing appropriateness.
Contribution to key regulatory deliverables and programs (e.g. FRTB) as well as analysis and interpretation of key regulatory requirements.
Perform ongoing monitoring and evaluation of market risk models, review existing models to ensure they remain fit for purpose and make improvements where necessary.
Collaborate closely with the model validation team to understand validation findings and remediate any identified issues
Collaborate with the other teams (data, IT, change management) to ensure that model changes are appropriately implemented.
Document models and associated developmental analysis, present results to partners and stakeholders
Manage, guide and train more junior members of the team
An excellent academic background, including an advanced degree in a quantitative discipline, such as quantitative finance, statistics/mathematics, sciences or engineering.
Deep understanding of quantitative risk including good knowledge of financial products and their risk representation.
Demonstrable experience in delivering enhancements to risk models, ability to produce high quality, accurate work, under pressure and to tight deadlines
Excellent mathematical, analytical, problem solving and troubleshooting skills
Strong programming skills and demonstrable experience in coding numerical methods and algorithms, data analysis and manipulation.
Advanced knowledge of at least one prototyping programming language ( e.g. Python, R) and preferably experience/knowledge of professional development concepts and technologies and modern development toolchain
Strong communication skills for written, graphical and verbal presentations and ability to explain complicated concepts clearly to business partners and present proposals in a clear and precise manner.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.
Internal Number: 4835290
About Morgan McKinley
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