Job Description
- Strong expertise in Treasury products valuation, risk measurement, and validation using tools like Python and Excel Macros, with in-depth knowledge of structured products and statistical techniques for PFE computation.
- Skilled in developing and enhancing risk models (VaR, Stress VaR, PFE, SIMM) and performing scenario analysis, P&L attribution, and stress testing, while documenting and validating market risk models.
- Deep understanding of regulatory frameworks (SIMM, NSFR, IND-AS, FRTB) and ensuring compliance through regular model reviews, back-testing, and validation processes.
- Proficient in risk model monitoring, reporting, and model inventory management, with the ability to present findings to senior authorities and committees for decision-making.- Strong expertise in Treasury products valuation, risk measurement, and validation using tools like Python and Excel Macros, with in-depth knowledge of structured products and statistical techniques for PFE computation.
- Skilled in developing and enhancing risk models (VaR, Stress VaR, PFE, SIMM) and performing scenario analysis, P&L attribution, and stress testing, while documenting and validating market risk models.
- Deep understanding of regulatory frameworks (SIMM, NSFR, IND-AS, FRTB) and ensuring compliance through regular model reviews, back-testing, and validation processes.
- Proficient in risk model monitoring, reporting, and model inventory management, with the ability to present findings to senior authorities and committees for decision-making.