Assistant Vice President - Capital Models Market risk

Description:

Role Overview:

The role involves contributing to the development, enhancement, and validation of FRTB Capital Models under both Internal Model Approach (IMA) and Standardized Approach (SA) frameworks. The individual will work closely with cross-functional stakeholders within Market Risk, Model Development, and Technology teams.

Key Responsibilities:

- Support the design, enhancement, and implementation of FRTB IMA and SA models.

- Perform Market Risk RWA calculations and capital impact assessments.

- Develop, test, and optimize quantitative models aligned with Basel III / FRTB requirements.

- Partner with model validation and regulatory reporting teams to ensure compliance and control standards.

- Automate data workflows and analytical reports using Python and SQL.

Ideal Candidate Profile:

Experience:

Domain Expertise: Strong understanding of Market Risk RWA modelling with exposure to FRTB SA and IMA frameworks.

Technical Skills: Proficient in Python and SQL for data analysis, automation, and model implementation.

Educational Background: Quantitative discipline preferred Mathematics, Statistics, Engineering, or related field.