- Develop and maintain market and liquidity risk models, including VaR, LaR, and stress tests, using statistical and mathematical methods on financial data and time series.
- Support capital adequacy calculations and capital planning.
- Contribute to the risk appetite framework, translate it into risk limits, and monitor market and liquidity risk metrics against those limits.
- Help design and document risk methodologies in line with Mexican and Basel requirements and the characteristics of financial instruments.
- Use SQL and Python to automate risk calculations, reporting, and dashboards using DWH data.
- Investigate deviations in risk metrics, analyze their drivers, and communicate findings to stakeholders.
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