Risk Methodology Analyst (m/f/d)

Hessen  ‐ Vor Ort
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Beschreibung



Risk Methodology Analyst (m/f/d)

Reference: -en
Start: asap
Duration: 6 MM++

Main tasks:
  • Develop client's IMA DRC and ES model compliant with final FRTB rules and CCR2
  • Design appropriate calibration methodologies for IMA DRC and ES
  • Implement respective prototypes for model output and calibration in combination with self-explanatory technical documentation and in close engagement with other stakeholders to ensure end-to-end feasibility of combined prototype environment
  • Create initial risk factor choice and parameter calibration leveraging DB’s IRC methodology where possible
  • Run impact calculations / sensitivity analyses to support decision process for final model choice
  • Ensure appropriate measure are taken to control model risk and provide comprehensive documentation
  • Run impact calculations to estimate final capital numbers and related sensitivities
  • Support enhancement of data collection and pre-processing procedures relevant for model development
  • Check feasibility of implementation approach with Information Technology and Operations
  • Ensure adherence to industry standards and regulatory requirements, particularly as they relate to final FRTB rules
  • Prepare for internal model governance and regulatory review processes; coordinate and secure agreement on model design with relevant stakeholders
  • Benchmark client's approach against industry best practice and drive applicable improvements.
  • Relationship management
  • Communication effectively and regularly with Senior Management


Main qualifications
  • Relevant university degree (Master or PhD) in a quantitative discipline (e.g. Mathematics/ Statistics/ Econometrics/ Quantitative Finance)
  • Solid quantitative background, extensive analytical skills and ability to efficiently solve problems independently and proactively
  • Experience developing FRTB internal models for market and or counterparty credit risk
  • Experience writing technical model documentation that meets the requirements of SR 11-07
  • Good understanding of IRC/DRC methodologies
  • Experience building regression-based models linking outcomes to macroeconomic variables, and performing all associated statistical tests
  • Experience with programming languages and proficiency in modelling software (e.g. especially Python or C/C++, VBA, R, Matlab) and accompanying technical documentation (user guides)
  • Ability to work with large amounts of data from a number of inhomogeneous data sources
  • Familiarity with FRTB regulation
  • Ability to manage complex model development projects across different locations independently
  • Well-organized with a proven ability to solve problems independently with a strong sense of personal ownership and a focus on timelines and delivering results
  • Able to cope well under pressure and tight deadlines
  • Excellent communication and presentation skills: be able to explain mathematical/ statistical concepts and results to various stakeholders
  • Excellent written and verbal skills in English


Main advantages:
  • A highly motivated team and an open way of communication
  • A variety of cultural and recreational offers
  • Varied tasks in a renowned company



About us:
True financial experts are rare – and in great demand. They also command a high price on the job market. We open doors for financial specialists in fields such as accounting, controlling, corporate banking, interim management, risk management and treasury. By drawing on your interests and experience, we will find the right job for you, because with us, specialists find their ideal working environment – all completely free of charge. Register with us and reap the benefits of job offers that are both interesting and relevant to your skills and experience.

My contact at Hays:

My contact person:
Christine Kampmann

Referencenumber:


Make contact:
Phone:
Email:
Start
ab sofort
Dauer
6 MM++
(Verlängerung möglich)
Von
Hays AG
Eingestellt
04.06.2019
Ansprechpartner:
Kerstin Werner
Projekt-ID:
1779612
Vertragsart
Freiberuflich
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