Build and implement a new market risk pricing library
End-to-end integration and testing of market risk models with new Basel 2.5 RIsk Engine build and accreditation.
Implement new market risk replacement program and engage with various stakeholders and model owners and developers
Market risk data transformation - understand historically simulated re-valuated VaR and Expected Shortfall in the context of Basel 2.5/FRTB
Tertiary education in Quantitative Finance, Actuarial, Economics, Statistics, Mathematics or Engineering
3+ years of experience of modelling experience (preferably within traded market risk)
Experience with Basel 2.5 / Market Risk Replacement / FRTB is highly valued
Strong problem solving skills
Ability to convey complex information to non-technical stakeholders
For further information on this role or to confidentially apply, please contact Valerie Lai on 02 8227 9200 or apply directly via the Apply for this job button. Only WORD FORMAT resumes will be accepted.
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