Description of the Business Line or Department
Model Validation & Enhancement
Validation of all the models (VAR / Pricing / Greeks /STT) used in margining computation/ risk monitoring
Specification / testing of model enhancement perform by our external vendor
Portfolio risk analysis
Provides analyses of each client’s risk (VAR/ STT)
Help in client on boarding process by explaining margining model
Ensures model monitoring using pricing benchmark analysis and BackTesting analysis
Ensures Data quality monitoring and estimate materiality of data risk
Assess model assumption materiality
Designs new margining methodologies, subject to validation by RISQ
Implement new margining methodologies in collaboration with ITEC department
Acts as expert regarding VAR computations (at the request of clients, RISQ, MARK or other entities)
Summary of the key purposes of the role
Portfolio risk analysis
Build strong understanding of the VAR model
Troubleshoot client VAR by analyzing main Risk Factors
Design new reporting dashboard to breakdown VAR
Performs pricing model benchmark monitoring
Performs VAR BackTesting monitoring
Performs different sanity checks around model / VAR / data set up
Design new reporting dashboard to estimate risk not in VAR materiality / proxy impact materiality
Summary of responsibilities
Responsibility for ensuring that you are fully aware of and adhere to internal Policies that relate to you, your business or other businesses for which you have any level of responsibility. It is your responsibility to ensure compliance with operational risk requirements (e.g. Golden rules, security policies and regulatory requirements).
Responsibility for managing, controlling, preparing and escalating risk within the scope of your position.
Responsibility for reading, understanding and complying with the Company’s Conduct and Standards and corresponding regulations. You will be notified of changes to policies in a timely manner through announcements and/or intranet updates.
Act with integrity and due skill, care and diligence in carrying out your duties. Your actions should always be able to satisfy high standards of scrutiny.
Observe proper standards of market conduct. Responsibility to ensure that you take reasonable steps to be fully aware of, understand and comply with all regulatory requirements from all regulatory bodies that are applicable to your business.
Level of Autonomy and Authority
Responsibility for managing, controlling, preparing and escalating risk within the scope of the position.
Observe proper standards of market conduct. Responsibility to ensure that steps are taken to be fully aware of, understand and comply with all regulatory requirements from all regulatory bodies that are applicable to the business.