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About Standard Chartered We are a leading international bank focused on helping people and companies prosper across Asia, Africa and the Middle East.
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The Role Responsibilities
The development of market risk models and tools under current IMA and FRTB.
The development of Risk Not in VaR (RniV) measures.
Providing technical guidance and expertise on Market Risk Model related matters
Analysing key model performance metrics such as hypothetical backtesting and P&L attribution test (PLAT).
Supporting risk managers in all queries related to VaR and other portfolio risk metrics
Testing production systems for VaR/ES model changes, system migrations and new products
Liaising with key business stakeholders on Market Risk Model changes
Understand local and global regulatory requirements and be aware of market environment / practices that will impact portfolio risk metrics.
Maintenance and enhancements of existing VaR, stressed VaR, RniV and IRC models.
Our Ideal Candidate
be educated to at least the level of an MSc in a quantitative scientific subject including statistics and a research element
have academic and/or professional experience in data analysis and simulation methods.
have a good understanding of market risk and traded products
exercise sound judgment in assessing the strengths and weaknesses of modelling approaches
be able to communicate technical concepts clearly both verbally and in written documents