Analyst - Market Risk/Quantitative Modeling/Statistical Modeling - BFS/Strategy Firm

Market Risk Analyst - Quantitative/Statistical Modeling

- Seeking candidates having a good exposure in Quantative Modeling/Statistical Modeling role in the verticle of Trading Risk with one of the leading bank for Mumbai location.

- The Trading Risk unit within Market Risk function is primarily responsible for setting-up / review of the policies, processes and Frameworks, Market Risk Limits, valuation methodology for all treasury products.

- Review of various quantitative models such as Market Risk & Counterparty Credit Risk models along with system configuration, Risk monitoring and measurement applying tools such as VaR, Stress Testing, PFE etc., Market Risk Capital Charge (MRCC).

- Review the advanced Market & Counterparty Credit Risk models developed based on Quantitative / Statistical models.

- Set-up and review the VaR methodology for trading book and monitor VaR against the approved limits.

- Carry out Back-testing of VaR model considering the traditional & other advanced statistical approaches and put up results to Management Committee on periodic basis.