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- Lead and implement Market Risk and Counterparty Credit Risk frameworks in alignment with Basel III/IV, FRTB, and other regulatory requirements.
- Develop and validate risk models, including VaR, Expected Shortfall, IMM, SA-CCR, and XVA methodologies.
- Work with stakeholders to assess the impact of risk methodologies on capital calculations (RWA, Stress Testing).
- Support the front office and middle office with risk pricing, valuation adjustments, and Monte Carlo simulation modeling.
- Conduct UAT, gap analysis, and documentation for risk model implementations.
- Utilize programming skills (Python, R, SQL) to enhance risk analytics and automate processes.
- Collaborate with IT, Risk, and Quant teams to integrate risk models into trading and risk management platforms.
- Provide thought leadership on financial risk regulations and emerging industry trends.
- Lead and implement Market Risk and Counterparty Credit Risk frameworks in alignment with Basel III/IV, FRTB, and other regulatory requirements.
- Develop and validate risk models, including VaR, Expected Shortfall, IMM, SA-CCR, and XVA methodologies.
- Work with stakeholders to assess the impact of risk methodologies on capital calculations (RWA, Stress Testing).
- Support the front office and middle office with risk pricing, valuation adjustments, and Monte Carlo simulation modeling.
- Conduct UAT, gap analysis, and documentation for risk model implementations.
- Utilize programming skills (Python, R, SQL) to enhance risk analytics and automate processes.
- Collaborate with IT, Risk, and Quant teams to integrate risk models into trading and risk management platforms.
- Provide thought leadership on financial risk regulations and emerging industry trends.