Good understanding of Market Risk concepts:
Value-At-Risk (VaR), Expected Shortfall (ES)
Sensitivities and risk factors(Greeks, yield curve,…)
Stress testing and scenario analysis
Counterparty risk basis (EPE, PFE)
Market Risk Regulatory knowledge:
Understanding of key Market Risk Regulatory frameworks: FRTB (Fundamental Review of the Trading Book) and Basel requirements (Standardised Approach vs Internal Models Approach)
Understanding of: Backtesting / Model Validation / Capital Requirements and regulatory reporting constraints
Quant skills – Strong foundation
Stochastic modelling and Monte Carlo simulation
Volatility modelling (e.g implied volatility)
Numerical methods and optimization
Programming skills
Strong proficiency in Python / C++ or C#: Ability to write clean, effective, production-ready code
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