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SM - Liquidity and Market Risk    

  • DOE
  • Barclay Simpson
  • Risk Management | Credit
  • Abu Dhabi
  • United Arab Emirates
  • 16/01/2018

This team covers the pricing, liquidity and market risk measurement modelling for the bank and is responsible for the independent review and analysis of the derivative pricing models used for valuation and risk. 

You’ll be responsible for the development of benchmark pricing models for the trading book and subjecting them to qualitative assessment and stress testing. You will have the opportunity to work on important validation projects across all the asset classes (CVA, Rates, FX, Inflation, Credit, Commodities), managing and interacting with key stakeholders across the Bank. You will support the build and design of a unified library framework for validating and running model risk. 

You will need to have: 
 

  • A qualification in a quantitative discipline such as Mathematics or Finance 
  • Programming expertise in VBA and C++ as well as a theoretical understanding and familiarity with derivative pricing models, stochastic calculus and partial differential equations 
  • Excellent analytical, presentational, verbal and non-verbal communication skills
 
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