Analyst - Risk Methodology - Global Risk - Investment Bank

Division Overview :

The Risk Management Division encompasses the firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firm's risk-return profile that ensures the efficient deployment of the firm's capital. It is one of the firm's core competencies and is independent of the trading areas and operational areas.

Business Unit Overview :

The Risk Methodologies Group (RMG) has the mandate to develop / enhance risk models in line with internal and regulatory requirements and to back-test VaR against Hypo and clean PnL. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, and the back-testing group of adjusting and updating Hypo PnL using adjustments provided by various different systems. The group works extensively on the regulatory capital model, including the proposed regulation, fundamental review of trading book (FRTB).

- Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory capital models (eg. Basel,FRTB).

- Development and periodic update of proto-type models with special attention to the model related to Market risk VaR.

- Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).

- To act as a subject matter expert for the risk models and providing support to the model users (i.e. Risk managers) and be a key point of contact with respect to such models.

- Work on the prospective regulation i.e. FRTB, perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).

- Create strategic tools for VaR/RNIV/Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.

- Participate in periodic review of models and calibration of model parameters.

- Providing live trade support for VaR/RNIV/Add-on Computations and performing offline risk capital calculation business/products (periodically and on adhoc basis).

- Provide necessary support to team during validation of VaR models by Model validation group/Audit including any model change on an ongoing basis.

Masters in Quantitative discipline (B.E/B. Tech+, M. Tech, MSc (Maths/Stats), Econometrics)

- 2-5 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 of Python, SQL, Matlab, VBA.

- Good understating of financial products (Bonds, Derivatives)

- A strong Mathematical / Statistical background.

- Actuaries (Cleared at least 3 CT papers)

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