Market Risk Management
6 months ago
Job ID
52301
Business
Banking, Finance, Securities, Insurance
Job Detail
- Develop, test, implement and documents risk analytics for new products.
- Support the maintenance and improvement of existing framework, policies and procedures.
- Support the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance.
- Perform quantitative analysis of portfolio risk exposure, time series analysis and risk simulation.
- Work with stakeholders across business and functional teams.
- Create tools and dashboards which can enhance and improve the risk analysis.
- Maintain, update, improve and back-test risk models.
- Identify risk not captured by analytics, develop and implement methodology to quantify the materiality.
Salary
80,000 - 130,000 (THB)
Location
Bangkok
Required work
experience
- 3-5 years of experience in quantitative modeling for market/liquidity risk.
- Strong knowledge of managing and analyzing large sets of data.
- Strong analytical skills required to understand quantitative models, and to translate that understanding into sustainable library design and code development.
- Knowledge and understanding of the derivative market.
- Project, management and organizational skills.
- Strong writing and presentation skills.
- Proficient programming skills in Python (OO, and main libraries e.g. Numpy, Seaborn matplotlib, tensprflow, scipy and statsmodel, etc.)
- Database expertise.
- Superior oral and written communication skills.
- Knowledge of statistics including machine learning and deep learning algorithm applied to extreme values is a plus.
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