Model Risk Quantification Role - Quants Lead FRTB - BFSI

There is an opening of Quants Lead FRTB Profile in Bangalore.

This role coordinates the FRTB quants effort work being undertaken in the Service Centres. It will as well participate in the model design of capital management specific models.

FRTB is a regulatory change with significant impact on the capital requirements for Market Risk as well as on how the business is organized and managed. There are a number of changes to risk calculations, data and analytics with resultant impact on the systems and processes across Global Markets, Risk and Product Control.

Global Markets is setting up a team focused on supporting the activities required to implement FRTB's requirements in the Company as an extension of teams in other major Hubs. This role is pivotal to the build-up of the team and in ensuring the quality of output of the team in supporting the FRTB programme. The role is also expected to contribute directly to specific aspects of FRTB.

Key requirements of the role would be to:

1. Understand the GM Bangalore quants team FRTB related book of work;

2. Assisting in the coordination of this work.

3. Working with other teams also contributing to the FRTB programme in Bangalore to provide guidance and ensuring the output meets

FRTB requirements - functionally and in terms of quality.

4. Contribute directly on specific models and prototyping initiatives as required.

The role requires an understanding of front office trading and/or Risk, quantitative modelling for front office valuations or risk calculations, appreciation of systems and processes underpinning trading and post-trade activities as well as the ability to manage a team of highly motivated and accomplished quant and analyst personnel.

Knowledge of study:

- Hypothesis testing

- Simulation Technique

- Monte Carlo Simulation

- Black Sholes

- IB Credit Experience

- PG/ LGD Modelling

- Credit Risk

Desirable:

- Experience in data management and analysis or in Front Office IT would be an advantage.

- Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.