Job Description:
Build market risk models for the purpose of regulatory capital calculation and stressing testing in order to ensure compliance with global regulatory frameworks while providing critical insights into the firm's exposure to market fluctuations. Conduct model changes and address model limitations to improve the model performance in response of regulatory requirement or Front office request. Develop and implement market risk model methodologies, algorithms, and diagnostic tools, integrating quantitative risk measuring work (including backtesting, sensitivity analysis, assumption analysis, data quality, model reliability, stability, and stress testing) to ensure model robustness, performance, and to assess and monitor model limitations. Work with market risk management systems, data flow, data definition and data requirements for various trading products, and conduct multiple analyses to meet risk managers and business needs. Collaborate with various working groups, senior model developers, risk managers, business clients, model validators, Risk IT, internal and external auditors, and regulators to assist with Model Risk Management and fulfill internal risk management requirements. Conduct on-going model performance analysis to discover, understand and quantify model limitations, providing comprehensive interpretations, explanations, and conclusions for resolving model issues. Work within Windows and Linux as programming environment and use Python, R, and SQL. Develop, maintain and enhance technical documentation including project plans, model description, mathematical derivations, data analysis, process and quality controls.
