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Senior Market Risk Models Manager, Sydney

Recruiter
KPP Search
Location
Sydney, Australia
Salary
A$170k -A$200k
Closing date
15 Apr 2023
Reference
DS567

Job Details

The successful candidate will be an SME in modelling data for capital and market risk. The goal being to design and build models for the FRTBusing the IMA approach (Internal Models Approach).

Responsibilities

  • Using your quantitative modelling experience, to apply different build models for FRTB capital calculation.
  • To support the embedment of the FRTB model implementation.
  • Partner with senior stakeholders, across market risk, treasury, quantitative modelling, prudential risk and the projects team to deliver this large piece of work.
  • Evaluate current capital models and provide expert suggestions and guidance on the design, build and execution of those models.
  • Stay up to date with current and relevant regulatory standards that impact the project.


Requirements

  • Previous market risk modelling or capital risk modelling experience is critical.
  • Trading book modelling experience is critical.
  • An understanding of key regulatory standards such as APS 116 & how to apply its use in modelling for the internal model approach for FRTB calculation is necessary.
  • You must be comfortable with programming languages, Python is ideal, C++ or Java also useful.

Company

KPP Search is a specialist recruitment business delivering solutions across three main disciplines: Audit, Risk Management and Compliance.

Headquartered in London with another office in Sydney, our coverage extends globally, our expertise lies within international assignments.

Company info
Telephone
+44 203 637 0901
Location
63-66 Hatton Garden
Holborn
London
EC1N 8LE
GB

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