Quantitative Analyst - Traded Credit & Market Risk
- Duwadami, Muqat'ah ash Shamaliyah, Saudi Arabia
- Permanent, Full time
- Michael Page
- 24 Sep 16
The Quantitative Analyst - Traded Credit & Market Risk in Riyadh will be responsible to assess the performance of the traded credit risk and market risk models, measure the impact on capital requirements and understand & manage the Traded Credit Model Risk within Wholesale Credit & Market Risk
Large bank in Saudi Arabia
The Quantitative Analyst - Traded Credit & Market Risk in Banking will be responsible for the following:
- To provide assurance that models meet regulatory & the bank's requirements by ensuring model fitness-for-purpose, conducting calibration & the back-testing of models and performing periodic re-calibration of models to capture all relevant sensitivities.
- To ensure that the model inputs, model outputs, model changes, interpolation & extrapolation techniques used, are all appropriately monitored and controlled by reviewing scenarios being used and suggesting changes to calculation and/or aggregation methods if necessary.
- To render oversight over PFE, CVA & VaR models including changes to settings in response to latest developments and model uncertainty adjustments.
- To identify conceptual soundness of the models, risks not captured by models and model limitations if any, and recording weaknesses identified in the models and thereafter suggesting imposition of conditions, mitigating actions and additional validation tasks, if deemed necessary.
- To conduct an effective and transparent assessment of model performance and to engage with stake-holders on model performance and remedial actions.
- To ensure accuracy of VaR, Stressed VaR, Sledgehammer VaR, Incremental Risk Charge, monitoring of risks not covered by VaR, concentrations and illiquid positions; where VaR models are used.
- To assist in implementation of risk related IT systems modules in MUREX for for European Market Infrastructure Regulation (EMIR), Margin Requirements for Non Centrally cleared OTC derivatives, Standardised Approach for Counterparty Credit Risk (SA - CCR), Fundamental Review of the Trading Book (FRTB) and any other Basel and/or Saudi Arabian Monetary Agency (SAMA) Regulatory stipulations requiring IT systems and upgrades.
- To conduct stress testing and reverse stress testing where warranted of traded credit risk & market risk exposures.
The Quantitative Analyst - Traded Credit & Market Risk should have the following:
- University degree and / or Ph.D. in a quantitative field with work experience after graduation. By completing a formal degree or equivalent course from a known university/college along with an overall experience of at least 5 years in a premier organization.
- Good practical understanding of stochastic calculus, econometrics, financial derivative products of different asset classes and familiarity with sophisticated tools for numerical analysis. By working in a Treasury systems environment with exposure to Treasury system implementations, support and enhancements.
- Relevant working experience in a bank, consultancy or advisory firm (5 years), including development, validation or control of traded credit and market risk models