AVP - Market Risk Quant

Job Summary

This is a quant role within the Market Risk Analytics team (MRA). MRA is responsible for the design and implementation of all Market Risk models and methodologies within SCB. The main Market Risk models are Value at Risk (VaR) and the Fundamental Review of the Trading Book (FRTB) models. These models are used for internal risk management and capital computation

The role holder is responsible for regulatory market risk capital measurements, focussing on FRTB requirements for Group, Solo, SC Bank, and relevant country entities.

Responsibilities include reporting, analysis, governance, control framework oversight, and support for regulatory / business change initiatives.

Key responsibilities include:

• Analysing and explaining capital, including responding to business and regulatory queries
• Producing management information packs, commentary, and capital analysis
• Supporting regulatory submissions and related documentation
• Monitoring and assessing data issues, omissions, and adjustments