Risk Models Manager with MUREX

Monika Joniec
WHOOHOO
osoba kontaktowa
Monika Joniec
CZE 23
Dolnośląskie na czas określony Magister
23.07.2022 108168431
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Firma

Our client is a global professional services provider offering research, analytics, and data management services. They’re powered by mind+machine – a unique combination of human expertise and best-in-class technologies that use smart algorithms to simplify key tasks. 

You will be working with the Model Risk Management group of a global investment bank with which we have an existing relationship. As a first assignment, You will be managing engagement with the model validation team of the bank and work on validating the Murex model. The role requires a good understanding of SIMM, VaR, FRTB, market risk models, pricing, and derivative model structures. Prior experience working on Murex is a must for this role.

Zakres obowiązków

  • Work specifically on validating market risk models. 
  • Interact with Model Developers, Model owners, and other stakeholders to efficiently maintain the Model risk management process
  • Responsible for review, critical assessment, and challenge of models on conceptual soundness, assumptions, and limitations of the model along with documentation of the validation process
  • Responsible for review and critical assessment of ongoing model monitoring reviews
  • Responsible for performing validation of Murex pricing and risk models

Wymagania

  • 3- 7 years of experience in Global Banks / Risk Consultancies
  • Experience with the Murex system is a must for this role
  • Validation/Development of Market Risk Models such as VaR Models, SVaR, Taylor VaR, RNIV, SIMM, SIMM breaches, backtesting, Capital Impact Assessment, Quantitative risk Analysis
  • Experience in the development and implementation of effective testing plans to critically challenge models through empirical analyses and to verify model implementations
  • Experience with programming languages such as Python, C++, C#, and Java to repurpose Python code for VaR calculation engine or building VaR calculation engine from scratch
  • Validation / Development of SIMM model while monitoring SIMM Initial margin, SIMM 10D VaR, Risk Not in SIMM
  • Experience in monitoring VaR model – back-testing, statistical analysis, Risk not in VaR, Taylor VaR implementation and benchmarking, preparing VaR dashboards 
  • Strong oral and written communication skills, including the ability to document analytical results suitable for audiences of all technical levels
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