The role will focus on Market Risk Stress Testing Methodologies in London. You will focus on developing models on stress testing Value-at-Risk (VaR) and losses on market risk of the trading portfolio. you will also maintain the market risk stress infrastructure and respond to business and regulator's queries on market risk stress testing.
The successful candidate will have as follows:
Ideally PHD or MSc in Statistics, Maths or Applied mathmatical subject
Knowledge of Market risk / Risk methodology
Strong experince in Python
Knowledge of Traded products