FRTB MODELLER PARIS (EXPERT)
Job: FRTB MODELLER PARIS (EXPERT)
For a long term project, we are looking for a FRTB modeler
- Model development for the benefit of Fundamental Review of Trading Book (FRTB)
- Modelling of the VaR, stressed Var
- Calculation of the Default Risk Charge
- Calculation of the Expected Shortfalls or the Non Modellable Risk Factors for models.
- Reference guide to write: Creating documents for models , explanation of the model.
The ideal Risk FRTB Modeller candidate must have the following skills:
- Experience working on FRTB regulations.
- Deep understanding of internal models.
- Knowledge of either the Default Risk Charge, the Expected Shortfalls or the Non Modellable Risk Factors for models.
- Experience creating documents and calculating models.
- Programming skills Python, R, SAS or MATLAB.
Experience: 5 years minimum
Job salary: to discuss
Job Type: Freelance
Skills: CREDIT Model,Matlab,Python,R,SAS,FRTB
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