Description
The team's mission is to develop and continually improve the group's risk modelling & measurement, analysis and back-testing capabilities. The team is organised in four streams, each responsible for a given asset class (IRFX, Credit/Repo, Equity/Commodity) or transversal aspects of risk methods (Cross-Product), supported by two architects responsible for ensuring consistency across methodological research and development activities.
The team's remit includes all the IMM models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space.
Key Accountabilities
Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to the team's mission, taking responsibilities for the following:
- Lead methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes;
- Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints;
- Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment;
- Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;
McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.