This associate role within CRA will be focusing on carrying out counterparty risk model development and performance review tasks for various org group legal entities including US and EMEA regions.
Support the execution and ongoing maintenance of the Model Performance Monitoring
(MPM) framework, including quantification of model limitation impacts and preparation of supporting analysis and documentation that meets regulatory guidelines.
Support model validation and audit related queries on MPM analysis.
Conduct data analysis, validation, and reporting for MPM initiatives while maintaining model performance trackers and dashboards to enhance transparency, governance, and audit readiness.
Support implementation of risk models into strategic risk systems, including developing methodologies, building prototypes, writing technical business requirement documents,
performing comprehensive model testing,
ensuring regulatory compliance, and coordinating with model validation groups.
Collaborate with Risk IT in the strategic implementation of various initiatives
Support regulatory reviews and inspections by providing comprehensive analysis and documentation as required
Key Skills:
Sufficient exposure to development or validation of counterparty credit risk models and regulatory landscape.
- Basic understanding of stochastic calculus, Derivative pricing,
Monte Carlo Simulation.
- Proficiency in Python / Excel - VBA
- Solid verbal and written communication skills
- Organisational skills, multi-tasking and detail oriented
- Delivery focussed with the ability to work effectively under pressure and meet tight timelines.