Collabera Poland | Digital Engineering and Talent Orchestration

Market Risk Analyst

1 year Experience : in Poland , in Remote
  • Post Date: June 7, 2021
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Job Description

Experience / Qualification:

• Perform stress testing, impact analysis and remediation on model limitations to assess model soundness and to ensure testing results are within models’ frameworks, in compliance with regulation requirements and reflecting latest production procedure
• Assist in maintaining a strong VaR and position limit framework and an improved proactive risk exception process
• Perform analysis to identify the sources of VaR/tail movements through Greeks and market movements
• Built automated modules and dashboard to monitor model performance of VaR / SVaR, benchmark models, investigating breaches and following up with stakeholders on remediation plans
• Developing, maintaining and validating various types of risk models
• Checking model assumptions and limitations, proposing improvements to the risk models
• Conduct ad-hoc analysis on various aspects of risk measurements, benchmark analysis
• Liaise with the risk managers and market risk IT team

• Good knowledge of statistics and related applications
• Expertise in at least one of the coding tools: VBA, R, MATLAB, Python
• Effective stakeholder management, experience in facing senior business stakeholders
• Knowledge of various asset classes, derivatives products and the risk involved in each of them would be an asset
• Experience in risk modelling, risk model validation and development is must
• Fluent in English

Benefits: Private Medicare, Sports card, paid leaves etc.

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