Market Risk Management

Key responsibilities

• Spearhead the development and periodic update of prototype models focusing on Market Risk and Counterparty Credit Risk. Ensure models are in line with the latest regulatory and internal guidelines.
• Play a critical role in implementing stress testing models into the strategic risk system. From methodology development, prototype building, drafting technical business requirement documents, conducting model testing, and ensuring regulatory compliance.
• Conduct firm-wide analysis to assess the impact of stress testing models and support quantitative impact studies (QIS).
• Provide support to the Model Validation Group/Audit team during the validation process, including managing ongoing model changes.