Job Description
MRA is in charge of the definition of methodologies for portfolio market risk metrics, in particular Value at Risk (VaR) and Expected Shortfall (ES), supervision of the market risk platform and compliance with regulatory requirements.
Key Roles & Responsibilities
- Assist in defining and implementing all methodological improvements for portfolio market risk metrics. This includes;
- Create explanatory methods and related tools to analyse VaR and other metrics
- Creatively solve VaR/ES model issues with practical ideas
- Perform back-testing analysis and other statistical ex-post tests
- Perform Quantitative User Acceptance Tests for VaR and ES
- Testing new pricing models before they are released into production
- Producing reports on model performance, such as quarterly VaR model performance reports
- Support risk managers in all queries related to VaR and other portfolio risk metrics
Qualifications & Skills
- Ph.D. in theoretical physics (or other discipline combining modelling, mathematics, computer programming and practical calculation methods) is preferred.
- The holder of the position must have:
- Exceptionally good ability to communicate technical concepts clearly
- Experience and skills in managing the work of others and reporting/planning progress
- At least the level of an MSc in physics, mathematical finance, statistics, engineering or relevant scientific/quantitative based subject
- Academic and/or professional experience in data analysis
- Sound judgment in assessing the strengths and weaknesses of modelling approaches
- Experience with simulation methods
- Strong computing skills
- The ability to learn quickly
- The ability to forge a good working relationship with his/her peers in the UK and Singapore
- The ability to work effectively with risk managers and other stakeholders
For further information please contact John Meadowcroft on 020 7780 6700. Alternatively forward your CV to John.Meadowcroft@AnsonMcCade.com
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