Description
Credit Risk Quantitative Model Analyst/Developer
The candidate will join the Risk Independent Review & Control department. The team covers all product lines and acts as an independent analytic and methodology control function.
Role:
In the course of 2016, the organization anticipates a larger number of risk methodology changes; mainly changes to the bank's Internal Model Method (IMM) for measuring counterparty credit risk and to a lesser extend changes to the bank's Internal Model Approach (IMA) measuring market risk. The position is about reviewing these methodology changes. Taking a critical approach, the candidate shall assess the overall adequacy of the proposed risk methodologies and identify all aspects that may require further investigation. As the position is senior, it is required that the officer has several years of experience with valuation and risk models. Based on this experience, the candidate is expected to quickly figure out what the potential model deficiencies may be. The identification of potential model deficiencies is the first step of the reviews. Having strong quantitative background and related professional experience, the candidate is expected to investigate these potential deficiencies in depth, by incorporating the development of alternative approaches and by efficiently carrying out impact studies, and to confirm at the end whether any modelling or model implementation issue is present or not. The model validation quants within the team use and/or develop an internal C++/C# toolkit for assessing and challenging the mathematical models behind the applied and proposed risk methodologies. Having strong C++/C# background, the candidate is expected to implement new models within the existing toolkit and to run quantitative analyses and impact studies using this toolkit. For closing the reviews, the details of the investigations and the findings must be clearly documented in technical validation reports that shall be discussed with other stakeholders and presented to the relevant Technical Committee at the end. The bank looks for a group of consultants with particular professional experiences in the following fields: modelling of underlying risk factor dynamics (interest rate, FX, equity, commodity, credit, repo), simplified revaluation techniques, market and counterparty risk back-testing methodologies, collateral and margining algorithms. The methodology reviews address the full chain of risk measurement, ie besides the mathematical models also their implementation, feeding and operation must be assessed. Functional and operational aspects shall be assessed based on existing documentation, specifications, available data, evidences and interviews.
Education:
- Master or PhD
Languages:
Requirement
- English
Experience:
Mandatory:
- 3-to-7-year experience in developing or validating financial models related to Capital Markets either on the Front Office side or on the Risk side. (Implementation of models as programming is not considered as model development.) Audit experience is a plus.
- In-depth knowledge of Capital Markets: how the markets operate, what the products are, what the main risk drivers are, how the risks are represented and modelled in the market and for long-term simulations, and what the shortcomings of the industry standards are.
- Relevant experience in Counterparty Credit Risk models: diffusion processes, calibration, simplified pricers, back-testing, regulatory constraints
- Relevant experience in Central Counterparties: listed derivatives, initial margins, and regulatory constraints.
- Relevant experience in Collateral Management in the context of Counterparty Credit Risk models.
- Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.
- Advanced Object Oriented programming skills in C++/C#.
Preferable:
- SQL, multi-threaded coding, low-level C++ programming, Excel12 standard.
Soft skills:
- Audit attitude on both methodological and operational aspects.
- Background and ability to challenge the proposed methodologies and to provide alternative solutions.
- Validation skills to valorise new ideas, both supportive and critical, and to examine problems from several different points of view.
- Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources.
- Eagerness to take ownership of projects and be autonomous in finding out the next steps and reporting any blocking point.
- Excellent communication and interpersonal skills to engage with the project stakeholders and to obtain the required input and support for successful and timely final delivery of the review projects.