Model Developer – C# Market Risk

Model Developer-C#-Market Risk
Contract: 6 months
LOB: FRTB

Model Developer-C#-Market Risk Responsibilities

• Analysis and translation of FRTB requirements/equations/mappings into near-production ready model design and code

• Development and testing of FRTB SA Models (SBM, DRC, RRAO)

• Development and testing of FRTB IMA Models (IMCC, Back testing, DRC, NMRF, PLA)

• Assist and support NMRF analysis and solution design including deciding how to classify risk factors as modellable/non-modellable

• Coding in C# for impact analysis for different universe of FRTB Risk Factors (RF)

• Coding in C# for bucketing analysis for modellable RF and impact on P&L attribution test, ES capital, and NMRF

• Coding in C# for NRMF & IMA capital analysis considering the above

• Interface with Upstream and Downstream team leads to ensure smooth data transitions and define comprehensive unit test coverage

• Collaborate with Market Risk, Market Risk Infrastructure and Capital Markets Technology teams to establish best practices, identify optimal technical solutions

 

Model Developer-C#-Must Have Skills: (as many categories as possible):

• PhD or Master/Bachelor’s degree in computer science, applied math, data science or related technical degree

• Basel Regulations (Basel III, FRTB) experience

• Strong knowledge and experience in C#

• Knowledge of MFL is desirable

• Valuation and Risk Management exposure

• Service Oriented API development experience

• 5+ years of work experience in large teams, in financial services industry, particularly performing model design and development

• Strong SQL and exceptional MS Excel skills

• Hands on experience with testing / mocking framework

• Good communicator who asks questions and is also self-motivated, focused, and is continually setting goals

 

Model Developer- Duration

6 Months

 

Model Developer-Start Date

ASAP or 2-3 weeks’ notice