Analyst/Associate - Risk Methodology/Capital & Rating Methodology - Accounting Firm

Hiring for Risk Methodology-Capital and Rating Methodology-Analyst/Associate

Role & Responsibilities:

Mind Set:

Mandatory Desired Domain:

- 1-5 years of experience either in Market risk or Credit risk with good understanding of risk modelling

- Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra

- Good knowledge or hands-on experience in one or more of programming languages: Python, SQL, Matlab, VBA, etc

- Good understating of various asset classes and derivative products

- A strong Mathematical/Statistical background

- FRM/PRM/CFA/CQF certification would be added advantage

- Actuaries (Cleared at least 3 CT papers) would be advantage.

- Good inclination for programming in python

- Work closely with the Global Capital and Rating Methodology (CARM) team on the projects related to Economic/Regulatory capital models (eg. FRTB)

- Development of model to capture credit and market risk, Event risk and economic capital modelling

- Calibration and development of IRC (Incremental Risk Charge), CRM (Comprehensive Risk measure) and tail risk models

- Work closely with Risk Managers who are the end users of such models and risk IT who develops these models in risk systems

- Actively participate in validation of the models/model-changes during implementation phase

- Create analytical tool/provide support in creating such tools to facilitate offline calculation of risk numbers with respect to Economic and regulatory capital

- Participate in periodic model parameter calibration exercise and model review

- Perform offline risk capital calculation for certain business/products (periodically and on adhoc basis). Provide necessary support to CARM during validation of Economic capital models by Model validation group/Audit/Regulator including any model change on an ongoing basis

- Lead the projects related to CARM including but not limited to system migration / new implementation

Requirement:

- 1-5 years of experience either in Market risk or Credit risk with good understanding of risk modelling

- Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra

- Good knowledge or hands-on experience in one or more of programming languages: Python, SQL, Matlab, VBA, etc

- Good understating of various asset classes and derivative products