Associate Director, GRA - Market Risk Analytics

Job Description What is the opportunity? As Associate Director, you will take a leading role and undertake analysis to design, develop, and provide ongoing maintenance of the quantitative models used in internal risk management and regulatory capital reporting. In this role you will support capital markets trading and investment portfolios across different asset class. This includes working with the business and the broader risk teams to develop Value-at-Risk (VaR) models, which facilitates the bank’s effective risk management and governance on market and counterparty credit risk model usage. What will you do? Develop Value-at-Risk (VaR) models for various financial instruments. Develop computer program to implement the methodology or test methodology soundness.…