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The Risk Quantitative consultant will be part of the team who will research, develop and enhance traded risk methodologies, provide methodology support to regulatory stress test, businesses, traded risk management and control functions, interacting with regulatory agencies, and maintain and update the traded risk methodology documentation.
Research and Development. Work with the team to: develop advanced risk methodologies including sophisticated quantitative methodologies to measure counterparty credit and market risk exposures, leading the effort of IMM counterparty credit risk application, and to enhance Value-at-Risk model, etc.; and research and develop new risk methodologies
Ad hoc Quantitative Analysis. Perform ad-hoc analysis in various aspects of risk measurements, stress tests, what-if analysis on the existing portfolios and during new product/transaction approval; and on demand quantitative support for businesses, and traded risk management and control functions.
Documentation. Review validate and document risk methodologies across asset classes.
In depth knowledge on products and transactions in the above asset classes with solid understanding to their credit and market risk exposures and advanced quantitative methodologies to model and measure these risks. Strong working experience in quantitative financial methodologies (derivatives theory and models, probability theory, Mathematics, etc.) is required.
Demonstrated ability and track experiences to lead complex team efforts and to adapt new products/businesses. Additional expertise and experience in modelling credit derivatives and other hybrid products, and exposure on Regulatory Stress test, CVA, Counterparty VaR and market risk VaR methodology and regulatory capital calculation are highly preferred.
Solid technical skills are required, such as risk system/model implementation in C/C++, VBA, Java or other programming languages. Knowledge on QuIC, Calypso, Summit, Matlab, etc. are plus.
Advanced degree in a quantitative or computational field (Computer Science, Math, Physics, and Financial Engineering) is required.