Market Risk Methodology

As a Risk Quantitative Analyst at SIGMA, you will play a crucial role in contributing to the mission of the company by participating in various methodology projects. Your responsibilities will include gathering and documenting requirements, analyzing and designing risk methods and models, developing and testing code changes, and ensuring that all methodologies and procedures are well-documented to meet internal and regulatory expectations. Key Responsibilities: - Participate in methodology projects, considering stakeholder interests and regulatory constraints. - Investigate, analyze, and design risk methods and models. - Design, develop, and test code changes for risk systems. - Document all methodologies, tools, and procedures to a high standard. - Contribute to quality assurance processes surrounding risk measurement. - Cooperate with model validation teams and support regulatory interactions. - Assist risk managers and Front Office in risk assessment of deals. Qualifications Required: - Minimum of a Masters in mathematics, physics, or quantitative finance; Ph.Ds are welcome. - Strong interest and familiarity with risk management best practices and financial markets. - Experience in a quantitative finance environment, preferably in market or counterparty risk modeling. - Sound understanding of stochastic processes and derivatives pricing models. - Practical knowledge of risk drivers in various asset classes. - Experience in designing and implementing quantitative models using C# or C++. - Excellent communication skills and previous experience in interacting with different stakeholders. - Awareness of the regulatory framework for banks. - Candidates with a Ph.D. and research experience are preferred. Additional Details: The role will provide exposure to a diverse range of professionals within the bank, emphasizing the importance of communication skills. It is essential to work under tight deadlines, collaborate with multiple teams, understand governance processes, and manage changing priorities efficiently. Reasonable coding skills are expected from candidates applying for this role.,