DESCRIPTION:
Duties: Develop and enhance mathematical market risk models for Value at Risk (VaR) metrics for derivatives, fixed income, liquidity, FX options, and structured products for Emerging Markets. Execute performance testing of Value at Risk (VaR) models, assessing the impact of changes in pricing models, trading desk strategies, market environments, and regulatory requirements. Apply and develop advanced quantitative methods to ensure precise valuation and robust performance of VaR models, effectively addressing diverse market dynamics, new products, and evolving local regulatory changes across the Emerging Markets business. Ensure models maintain consistent performance over time, dynamically adapting to evolving market conditions while meeting internal standards and regulatory requirements. Deliver quantitative insights to market risk model stakeholders, including Market Risk senior management. Document and justify modeling choices, ensuring strict alignment with regulator...