A Globally recognised bank is seeking a Model Developer to join their Market Risk Methodology team in Berlin. This team develops the risk methodology for Historical Simulation VaR and the Internal Model Approach in the FRTB framework.
You would act as a specialist for the design of risk models in the Trading book and the development of the Expected Shortfall framework within FRTB. This opportunity will allow you to further your knowledge of important Market Risk measures and models, whilst becoming an expert in your field.
As Model Developer will:
- Drive the development of Market Risk methodologies such as FRTB IMA framework, Historical Simulation VaR model, with focus on Stress Scenario Risk Measure (NMRF model)
- Implement and monitor an intricate framework to identify key market risks in the trading book
- Engage in Model Validation using theoretical proof and support them with empirical evidence
- Data processing, and making regular and ad-hoc analysis/reports
- Analyse VaR across numerous models
As Model Developer you will have:
- A masters, Phd, or equivalent in a mathematical, physics or econometric field
- Knowledge of Quantitative Risk Management (VaR)
- Strong quantitative background and advanced understanding of Probability and Statistics
- Strong programming skills in Python
- English speaking