Capco are looking for an experienced Risk Modeller to assist us on what will initially be a 3 month long contract assignment.
Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams.
Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level.
Clear and demonstrable familiarity with key Traded Risk measures.
Experience with software build systems and version control
An experienced risk modeler to work on methodology development, analysis and prototyping for the key metrics in the Internal Models Approach (IMA) namely Expected Shortfall (ES) and Non Modellable Risk Factors (NMRF) as part of the FRTB Programme. Key requirements and deliverables are expected to include the following;
IMA - Expected Shortfall (ES)
Key Requirements: Methodology development, Analysis and Prototyping. Develop theoretical framework, including for example scenario generation and tail optimisation techniques, Develop prototype to test tail optimization.
IMA- Non Modellable Risk Factors (NMRF)
Methodology development, analysis and prototyping. Source trades to model vol surfaces, Expand modellability testing prototype to Include ATM vols & skew/smile (for EQ, IR, FX), Include changes in final rules into prototype
Source trades to model vol surfaces, Expand modellability testing prototype to Include ATM vols & skew/smile (for EQ, IR, FX), Include changes in final rules into prototype
Prototyping coding in rapid of simple risk factor framework completed
Sign-off / incorporation of FO quant introspection logic (product to risk factor) methodology documentation and traceability
model methodology documentation signed off, including assessment of all regional regulatory divergences.