The main responsibilities of this role are the development and specification of market risk methodology across asset classes, in particular development of market risk models to be used under new regulations as prescribed by Fundamental Review of trading Book (FRTB). More specifically, the responsibilities include

- Understand the products traded and trading strategies used.

- Identify all sources of market risk.

- Develop and specify the internal market risk models.

- Understand risk models (VaR & RNIV) currently in use and proposed changes under FRTB regulations

- Development and implementation of risk methodologies to be used for market risk measurement under FRTB

- Define and specify implementation of stress scenarios for non-modellable risk factors.

- Define and specify implementation for standard rules capital calculation (sensitivity based approach) at group and trading desk levels.

- Evaluate the impact of the new models and captial rules

- Ensure that any significant tail-risk is highlighted to the Scenarios team.

- Support the development and specification of the Economic Risk Capital (ERC) model.

- Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.

- Collaborate closely with the data team to ensure that the historical data used in calculations are appropriate.

- Collaborate closely with the change teams, to ensure that any changes to methodology are appropriately project-managed for implementation.

- Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes.

Qualifications:

- An advanced degree in Mathematics, Physics, Engineering, Computing or Finance

- A PhD is preferred.

Skills and Experience:

- The role requires solid experience in Mathematical Finance and Financial Modelling.

- Excellent communication skills, written and verbal, in English are a pre-requisite.

- Project management skills are essential, including being able to manage multiple projects across different regions, asset classes and people to tight deadlines.

- The role should provide quality assurance around the quality of the work produced by the Mumbai group. This will include providing technical feedback as well as ensuring all appropriate policies and guidelines have been followed.

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