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Business Analyst, Market Risk Modeling -  Python/MatLab

Procom Toronto, Ontario Contractor
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Business Analyst, Market Risk Modeling - Python/MatLab

On behalf of our client in the Banking Sector, PROCOM is looking for a Business Analyst, Market Risk Modeling - Python/MatLab.

Business Analyst, Market Risk Modeling - Python/MatLab– Job Description

  • The team is responsible for developing, maintaining, documenting and monitoring the performance on an ongoing basis of market risk models across various asset classes (includes fixed income, interest rate derivatives, equity, and foreign exchange). This including ensuring that the model's underlying methodologies are appropriate and that the models are implemented with integrity so that they accurately measure bank’s market risks.
  • The primary focus for this role is our Monte Carlo Debt Specific Risk model as well as the development of tools in Python to assess and monitor model performance of our market risk VaR model. There will be opportunities to get involved in other models across various asset classes over the course of the contract.

Business Analyst, Market Risk Modeling - Python/MatLab– Job responsibility

  • Develop and maintain models used for the measurement of market risk (VaR, SVaR, Risk Not in VaR, stress):

o Work with model users to understand the modeling requirements.

o Understand the features of the products being modeled.

o Make recommendations on model methodologies and implementation details.

o Provide business requirements and user acceptance criteria to IT, and validate implementation using benchmark models which have been developed.

o Document and work with internal validation to facilitate approval of models.

o Develop tools to assess and monitor model performance, including assumptions and limitations, on an ongoing basis for reporting to the various model monitoring governance committees.

o Investigate and remediate modeling issues identified through ongoing monitoring or by internal validation.

o Recalibrate models on a regular basis.

o Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of the results in models whitepapers and annual assessments for review by internal validation.

Business Analyst, Market Risk Modeling - Python/MatLab – Must have

  • Very nice to have Masters in Financial Engineering, or a degree in another quantitative subject such as physics, statistics, mathematics or mathematical finance
  • Strong background in quantitative methods and/or finance
  • Strong background in Market Risk Modeling - maintenance, proposing new methodology, monitoring progress (currently using Monte Carlo Debt )
  • Broad product knowledge across various asset classes and knowledge of regulatory & internal risk management requirements for Market Risk.
  • Excellent Python and/or Matlab programming skills for developing & maintaining models used for the measurement of market risk - VaR, SVaR, Risk Not in VaR, stress.

Business Analyst, Market Risk Modeling - Python/MatLab – Nice to have

  • Capital Markets nice to have
  • Data management and analysis skills (SQL and Excel required, will be used for model development)
  • Strong analytical and problem solving skills

Business Analyst, Market Risk Modeling - Python/MatLab – Duration

12 months

Business Analyst, Market Risk Modeling - Python/MatLab – Location

Downtown Toronto

 

Recommended skills

Interest Rate Derivatives
Equities
Capital Markets
Market Risk
Fixed Income
Quantitative Research
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Job ID: 292316

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