Data Scientist, Market Risk Model Design

Responsibilities

• Help draft and update methodological documentation for derivatives and market risk models
• Help update and document quantification methodologies for risk metrics (VaR, stress tests) and regulatory frameworks (FRTB, SIMM, ICAAP), according to the established standards
• Help review model inputs and components, in collaboration with stakeholders
• Help implement new products in risk systems (Murex, MSCI RiskMetrics, FIS Adaptiv)
• Participate in workshops to formalize model needs and support their implementation
• Contribute to the development of risk modelling practices through analysis, proposals and exploratory work

Requirements

• Bachelor’s degree in finance, financial engineering or a related field
• A minimum of two years of relevant experience, ideally in a market risk management or financial market environment
• Experience with at least one risk system, su...