Leader/ Senior Professional/ Lead Model Development & Pricing

Key responsibilities

• Being a key contributor to the Model Development group of the company, responsible for independently creating Market Risk Models and Pricing for a variety of financial assets, PFE and VaR calculations for counterparty credit limit.
• Perform back testing, benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic.
• Communicating with trading desks and legal department to understand the business and legal aspects of the trades that could impact in risk aggregation.
• Interact with technology for market data standard and model integration, and also model risk management group for timely delivery of model maintenance.