Qualifications
Core Responsibilities:Market Risk Modelling:Develop and maintain Value at Risk (VaR) and Expected Shortfall (ES) models using parametric, historical simulation, and Monte Carlo methods. Apply Extreme Value Theory (EVT) and Generalized Pareto Distribution (GPD) for tail risk assessments. Conduct backtesting and validation of risk models to ensure accuracy. Support factor-based risk decomposition including beta, sectors, and idiosyncratic risk. Scenario Analysis & Stress Testing:Create and execute historical and hypothetical stress scenarios. Formulate forward-looking market risk scenarios. Analyze Profit & Loss (P&L) sensitivity under stress conditions. Contribute to enhancing the firm’s stress testing framework. Portfolio Risk Analysis:Oversee real-time and end-of-day risk metrics including Greeks, exposure, and drawdowns. Perform performance and risk attribution analysis. Facilitate pre-trade risk controls and establish position limits. Compile regular risk reports for internal stakeholders. Quantitative Development & Analytics:Develop and maintain Python-based risk analytics tools. Utilize SQL for data extraction and processing of trading data. Prototype innovative analytical approaches and models. Contribute to comprehensive model and methodology documentation.
About the job
SFORS has operated in global financial markets for over twenty years, concentrating on proprietary trading and pre-market strategies. The firm invests in trading technology and advanced risk management models, building a reputation for developing talent and maintaining a focused environment by trading exclusively with its own capital.
Role overview
The Risk Quantitative Analyst joins the Risk Management team in Dubai. This position centers on developing, validating, and improving market risk models. Daily work involves close collaboration with traders and risk managers to strengthen oversight of equity portfolios, with a particular focus on US markets.
What you will do
- Work alongside traders and risk managers to create and enhance risk models
- Validate and refine market risk models used for equity portfolios
- Contribute to effective risk oversight for trading activities in US markets
Work environment
SFORS operates with proprietary funds, providing a dedicated and focused setting for trading and risk management.
About SFORS
SFORS is a dynamic and forward-thinking company that thrives in the competitive landscape of proprietary trading. With a foundation built on two decades of market expertise, we prioritize talent development and technological innovation to empower our traders' success.