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We Offer The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision-making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities.
The Risk division's long-term success depends on our ability to achieve our vision and fulfill our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and inspires leadership at all levels.
We are a department that values Diversity and Inclusion (D&I) and are committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
The market risk Models & Methodology team sits within the Global Market Risk Management department and are responsible for:
Developing models to quantify market risk.
Making sure those models adhere to the regulatory requirements/guidelines.
Implementing market risk models in IT systems.
Documenting models and developmental analysis.
The models are utilised both for internal risk management and for calculating regulatory capital for market risk. The models are adopted globally across all legal entities and regulators.
The role is for a model developer in the Global Macro methodology team, and the principal responsibilities include:
Develop and analyze new quantitative risk models for products in the Rates, FX and Commodities businesses, and ensure their correct implementation.
Review existing models to ensure they remain fit for purpose and make improvements where necessary.
Ensure all models are recorded (to SR11-7 standards) for both internal and external (e.g. regulatory) purposes.
Evaluate the impact of new models or changes in regulation.
Working closely with the market risk managers to make sure that their requirements, as primary model users, are reflected in the models.
Collaborate closely with the model validation team to understand validation results and remediate concerns where necessary.
Collaborate with the data, IT, and change management teams to ensure that methodology changes are project-managed for implementation.
You have a deep understanding of the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.
You have around 3 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is essential.
You should hold a first degree in mathematics, physics, econometrics, statistics or engineering.
You having a higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be advantageous.
It would be desirable to have general knowledge of risk issues and investment products, together with some programming skills.
You being an expert at R/Python, MS Excel and VBA skills is preferred, further to having experience in C# would be highly advantageous.
You have the ability to work well in a team and can establish strong work relationships.
You are able to produce high quality, accurate work, under pressure and to tight deadlines.
Willingness to question and challenge the status quo and proven record to providing alternative approaches to issues.