Associate Director, Global Risk Analytics
Core
Design, develop, and maintain mathematical models for measuring and capitalizing market risk of a trading portfolio under FRTB and CCAR frameworks.
Role type
Associate Director, Global Risk Analytics (Model Development)
Builds
Production market risk models and benchmark testing prototypes
Domain
Banking / Financial Risk Management / Quantitative Finance
Deliverable
production ML models
Required skills
Python, MatLab, SQL, Excel, Market Risk Modeling, Regulatory Compliance (FRTB, CCAR), Traded Products Knowledge, Statistical Analysis
Preferred skills
Masters in Financial Engineering, Physics, Statistics, or Mathematics, FRTB experience
Technologies
Python, MatLab, SQL, Excel
Responsibilities
Conduct research on regulatory requirements and industry best practices; Develop technical implementations and validate using benchmark models; Document methodologies and testing results for internal validation; Monitor model performance and remediate issues; Collaborate with model users and technology teams.
