AVP, Market Risk Analysis and Control (MRAC) – Credit

Full Time

International Investment Banking Client

Office Status: Hybrid


  • Deliver accurate and timely analysis and explain statistical models; these include but are not limited to Value at Risk (VaR), Stressed Value at Risk (SVaR), Incremental Risk Charge (IRC), Risk Weighted Assets (RWA) and Economic Capital (EC)
  • Interpret statistical results and review reports for accuracy before communication with market risk managers and front office traders
  • Provide ad hoc analytical support to Risk Managers to facilitate risk management / business decisions. This includes “what-if” impact analysis against existing risk measures, and business specific stress tests
  • Contribute to methodological enhancements and quantitative impact analysis, which includes applying statistical techniques to improve or evaluate existing statistical models
  • Contribute to projects to increase Front to Back (FRTB) efficiency, improve controls, or satisfy regulatory requirements such as FRTB
  • Develop interactive reports for summarizing and presenting statistical results to facilitate robust risk management practices. This includes helping to maintain and enhance our python library for analytics and reporting
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