JOB DETAILS

JOB DETAIL

• Develop, test, implement and documents risk analytics for new products.
• Support the maintenance and improvement of existing framework, policies and procedures.
• Support the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance.
• Perform quantitative analysis of portfolio risk exposure, time series analysis and risk simulation.
• Work with stakeholders across business and functional teams.
• Create tools and dashboards which can enhance and improve the risk analysis.
• Maintain, update, improve and back-test risk models.
• Identify risk not captured by analytics, develop and implement methodology to quantify the materiality.
• Support discussion with regulators as a subject matter expert.

REQUIRED WORK EXPERIENCE

• At least Bachelor's Degree in quantitative subject; Advanced Degree is a plus.
• 3-5 years of experience in quantitative modeling for market/liquidity risk.
• Strong knowledge of managing and analyzing large sets of data.
• Strong analytical skills required to understand quantitative models, and to translate that understanding into sustainable library design and code development.
• Knowledge and understanding of the derivative market.
• Project, management and organizational skills.
• Strong writing and presentation skills.
• Proficient programming skills in Python (OO, and main libraries e.g. Numpy, Seaborn matplotlib, tensprflow, scipy and statsmodel, etc.)
• Database expertise.
• Superior oral and written communication skills.
• Knowledge of statistics including machine learning and deep learning algorithm applied to extreme values is a plus.