Design, develop and maintain market risk methodology to support the business's state of the art data modelling and analytics platform to ensure the accuracy and performance of its measures
The team is implementing cutting-edge quantitative methodology to perform market risk capital analysis for internal risk management and regulatory compliance for the global business.
- Monitor financial markets and perform stress testing for risk and capital requirements calculations;
- Review, analyze and communicate VaR, stressed VaR, single and multi-asset stress tests, risk sensitivities and capital measures.
- Design, develop and maintain market risk methodology to support the business’s state of the art data modelling and analytics platform to ensure the accuracy and performance of its measures (e.g. Anomaly detection; data governance etc.)
- Facilitate regulatory interpretation to adhere to capital requirement regulations, maintain regulatory self-assessments and track associated gaps.
- Master’s degree or Ph.D in a quantitative field.
- At-least four years experience in Quantitative market risk management, regulatory risk or compliance.
- Object oriented programming skills such as Java, Python or C++.
- Ability to work independently, form own judgment/opinions, provide insights and drive change
- Strong interpersonal, written and verbal communications skills in German and English.