The Market Risk function sits within the Group Risk Management department and exists to risk-manage support and due diligence Global Markets and Treasury, Private Banking and Asset Management business activity across the Group. The proposed jobholder will report to the Group Head of Market Risk, and is expected to add value through bringing a combination of strong quantitative capabilities, and robust market risk management techniques, practices and discipline to the role.
The key components of the successful candidates will be hands-on experience in model development, model validation, and Groupwide market risk policy setting.
The candidate's experience should encompass the following:
o Single and/or multi-factor Term Structure models: Ho Lee,Vasicek/CIR, HJM.
o Traditional IR models such as Hull & White.
o Credit derivatives "Structural"/"Reduced Form"pricing/valuation models (with "Gaussian" or "Frank" Copulas): "Duffie"or "Duffie and Singleton", "Black-Scholes-Merton" (for IR or Structured Credit space), "Jarrow-Turnbull".
o Poisson Processes / Spread-Based Models / Hazard, Jump Models.
o Exposure to any of the following systems/portals: Murex, Clypso,Summit, Quantifi, MARKiT, CDO2, Point9, or any other (please specify).
JOB TASKS:
(1) Develop new and maintain existing quant market risk managementmodels and methodologies (e.g. Greeks, Curve Building, VaR, Credit VaR, and Scenario building).
(2) Validate new and existing models developed by Market Risk - orby other Business or quant units - across the Group.
(3) Design and implement Group-wide Market Risk policies.
(4) Actively monitor trading and investment limits, and takeappropriate action in case of breaches
(5) Work with FO trading and investment desks to support newbusiness initiatives in line with Board's risk appetite and in accordance with the bank's risk management policies. Ensure that robust market risk controls are maintained to prevent unauthorized exposures.
(6) Generate independent, accurate and timely market risk managementinformation for the department, the Business, and the senior management.
(7) Provide expert advice and carry out due diligence on investmentproposals.
(8) Propose, discuss, and implement market risk solutions which arefit for purpose.
REQUIRED EXPERIENCE:
(1) Minimum of five years Global Markets and Treasury or Asset Management/Private Banking experience ineither a quant or market risk role.
(2) Must have hands on and in-depth understanding of basic marketrisk constituents: Greeks, Yield Curve Building, Vanilla and Structured Derivatives Valuations, VaR, and Credit VaR.
(3) Must have proven capability to combine Stochastic Calculus withStatistical Inference techniques to generate probabilistic models necessary for day-to-day market risk management of Structured Products and Credit Derivatives business.
(4) Should have at least five years practical market risk-related exposure to and hands on understanding of IR&FX Derivatives, Credit Derivatives, Structured Products and Hedge Funds.
QUALIFICATIONS:
Ideally a masters/post-graduate degree in financial mathematics or statistics, or CFA preferably with some exposure to VB, C++, or Matlab.
Source:
http://jobs.efinancialcareers-gulf.com
The key components of the successful candidates will be hands-on experience in model development, model validation, and Groupwide market risk policy setting.
The candidate's experience should encompass the following:
o Single and/or multi-factor Term Structure models: Ho Lee,Vasicek/CIR, HJM.
o Traditional IR models such as Hull & White.
o Credit derivatives "Structural"/"Reduced Form"pricing/valuation models (with "Gaussian" or "Frank" Copulas): "Duffie"or "Duffie and Singleton", "Black-Scholes-Merton" (for IR or Structured Credit space), "Jarrow-Turnbull".
o Poisson Processes / Spread-Based Models / Hazard, Jump Models.
o Exposure to any of the following systems/portals: Murex, Clypso,Summit, Quantifi, MARKiT, CDO2, Point9, or any other (please specify).
JOB TASKS:
(1) Develop new and maintain existing quant market risk managementmodels and methodologies (e.g. Greeks, Curve Building, VaR, Credit VaR, and Scenario building).
(2) Validate new and existing models developed by Market Risk - orby other Business or quant units - across the Group.
(3) Design and implement Group-wide Market Risk policies.
(4) Actively monitor trading and investment limits, and takeappropriate action in case of breaches
(5) Work with FO trading and investment desks to support newbusiness initiatives in line with Board's risk appetite and in accordance with the bank's risk management policies. Ensure that robust market risk controls are maintained to prevent unauthorized exposures.
(6) Generate independent, accurate and timely market risk managementinformation for the department, the Business, and the senior management.
(7) Provide expert advice and carry out due diligence on investmentproposals.
(8) Propose, discuss, and implement market risk solutions which arefit for purpose.
REQUIRED EXPERIENCE:
(1) Minimum of five years Global Markets and Treasury or Asset Management/Private Banking experience ineither a quant or market risk role.
(2) Must have hands on and in-depth understanding of basic marketrisk constituents: Greeks, Yield Curve Building, Vanilla and Structured Derivatives Valuations, VaR, and Credit VaR.
(3) Must have proven capability to combine Stochastic Calculus withStatistical Inference techniques to generate probabilistic models necessary for day-to-day market risk management of Structured Products and Credit Derivatives business.
(4) Should have at least five years practical market risk-related exposure to and hands on understanding of IR&FX Derivatives, Credit Derivatives, Structured Products and Hedge Funds.
QUALIFICATIONS:
Ideally a masters/post-graduate degree in financial mathematics or statistics, or CFA preferably with some exposure to VB, C++, or Matlab.
Source:
http://jobs.efinancialcareers-gulf.com