Role & Responsibility :
This role is to lead the MRA Mumbai team
- Lead and manage a team of 4-7 people (further growth possible)
- Hire and train staff
- Responsible for staff development
Deliverables include :
- Analysis and explains of VaR, SVaR, IRC, CRM, limit breaches, VaR back testing, RWA and EC
- Stress Testing analysis, explain and production
- Drafting analyses to respond to Regulatory requests, including adherence to global Volcker requirements
- Ad hoc (- What-if- ) analyses e.g. RWA impact of new trades
- RWA - Flight Path- analysis and estimates
- Numerical impact analyses of methodology enhancements
- Significant focus will be needed on the incoming regulatory changes according to FRTB
- Contribute to the strategy for enhancing DB Risk architecture
- Contribute to methodological enhancements
- Ensure complete and accurate implementation of models
Candidate Requirements :
- A graduate and/or post graduate degree in quantitative finance, mathematics, physics, engineering or a similar field of study
- Strong quantitative skills including financial risk models and derivative pricing theories
- Solid experience in using large datasets and applying market risk methodologies across different product/asset classes
- A high level of understanding of VaR methodologies is critical, both Monte Carlo and Historical Simulation
- Strong financial market and product knowledge, including derivatives, across all asset classes
- High professional and ethical standards
- A 'can-do' attitude and a delivery focus
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