A well known bank is looking for a risk modeller to join their team in London.
An experienced risk modeler to work on methodology development, analysis and prototyping for the key metrics in the Internal Models Approach (IMA) namely Expected Shortfall (ES) and Non Modellable Risk Factors (NMRF) as part of the FRTB Programme. Key requirements and deliverables are expected to include the following;
IMA - Expected Shortfall (ES)
Key Requirements: Methodology development, Analysis and Prototyping. Develop theoretical framework, including for example scenario generation and tail optimisation techniques, Develop prototype to test tail optimization.
IMA- Non Modellable Risk Factors (NMRF)
Methodology development, analysis and prototyping. Source trades to model vol surfaces, Expand modellability testing prototype to Include ATM vols & skew/smile (for EQ, IR, FX), Include changes in final rules into prototype
Source trades to model vol surfaces, Expand modellability testing prototype to Include ATM vols & skew/smile (for EQ, IR, FX), Include changes in final rules into prototype
- Market Data; Optimise split of modellable vs non-modellable (basis) risk factors, scenario Standardisation, Enhance prototype to test different configurations
- Good experience and knowledge of Expected Shortfall and Non Modellable Risk Factors
- Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level.
- Good FRTB knowledge/Experience
- Experience with software build systems and version control
Eames Consulting is acting as an Employment Business in relation to this vacancy.