Capco are looking for an experienced Quantitative Market Risk Manager to assist us on what will initially be a 6-month long contract assignment.
Role description: We are looking to recruit a Market Risk Quant for the IBOR Transition program within GRA. The term structure for the replacement of IBOR is expected to be defined by mid-2019. The ARRC in the US is also looking at developing the term structure of SOFR over the course of 2019. We anticipate term structures will evolve for each RFR (risk free rate) once sufficient liquidity is available in the market. Till that time, market risk models will need to be modified to handle the risking of this trade, and even going into the future, there will be the need to handle risking during the stressed VaR period when none of the new curves have existed. This could be in the form of looking at how to extend the market data time series and possible RNIVs to account for the basis risk. The modelling would not be limited just to the new SOFR, SONIA, ESTER curves but also options on these curves and how their risks would be captured within the capital models. Capital impact assessment and back testing would need to be performed in terms of finalising the models.
The candidate will provide support to the Independent Model Review (IMR) team in validation of the proposed models or changes to existing models.
This would then extend to remediation of the findings that the IMR team may raise.
Analysis will also be required to answer any queries that the regulator may raise with respect to the model enhancements.
Finally, support would need to be given to Transformation teams in implementing these models.
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