The models within the remit of GSA focus on credit risk (Internal Ratings-based Approaches, Economic Capital), Market Risk (Kanon), on operational risk (Advanced Measurement Approach, Economic Capital), on forecasts and risks to revenues (Capital Planning, stress testing) as well as customer behaviour which lead to management challenges in the banking book (early repayments, overnight deposits). You will observe market developments, identify risks and their driving forces, calculate potential risk exposure and set risk appetites, develop mathematical models and formulate solutions to mitigate the financial and non-financial risks the bank faces.
mehr