The role is for a model developer within the Equity Market Risk Methodology team, and the principle responsibilities include:
. Develop and analyse new quantitative risk models for products in the Equities business, and review existing models to ensure their correct implementation as per the regulatory guidelines
. Ensure all models are adequately documented (to SR11-7 standards) for both internal and external (e.g. regulatory) purposes
. Evaluate the impact of new models and capital rules
. Collaborate closely with the model validation team to understand validation results and remediate concerns where necessary
. Collaborate with the data, IT, and change management teams to ensure that methodology changes are appropriately project-managed for implementation
Your future colleagues
The Equity Market Risk Methodology team within the Quant Strats team reports to the Chief Risk Officer and is primarily responsible for developing models to quantify market risk that adhere to regulatory guidelines. The models are used for both internal risk management and calculating regulatory capital for market risk across all legal entities. We encourage each team member to own the risk model through its entire lifecycle. The team sits at various offices across globe like New York, London, Mumbai, Wroclaw.
We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm D&I ambition which is an integral part of our global cultural values.