Assistant Vice President - Initial Margin Modelling & Backtesting - Investment Banking

Description:

- Periodic back testing/ performance monitoring of the following models:

- SIMM (Standardized Initial Margin Model) model

- Firms internal VaR model

- Other risk models

- SIMM (Standardized Initial Margin Model) model monitoring and reporting, which involves development and ownership of the back testing/benchmarking methodology, identifying risk not in SIMM and in depth analysis on exception drivers by working across product and risk classes.

- Analyse and review the back testing exceptions with Front office and Product control and highlight deficiencies (if any) in the model.

- Execute day-to-day activities pertaining to regulatory and internally agreed ongoing model performance monitoring.

- Identify opportunities to streamline and automate daily manual processes, and work with Risk IT to implement these improvements

- To act as a subject matter expert for the related risk models and providing feedback to the model developers and users

- Be the key conduit between firm and regulatory bodies on any communication related to SIMM back testing results

- Interact with senior stakeholders across divisions such as Front office Quants, Finance, Risk management and IT to resolve issues.

- Maintain back testing related policy and procedure documentation

- Comfortably communicate and articulate with counterparty for SIMM remediation actions.

- Support model developers in automating the execution of their RMPM tests. In addition to experience with model back testing for ongoing monitoring, have a sound understanding and experience of performing sensitivity analysis, statistical testing and model benchmarking.

- Host multiple ongoing model performance monitoring forums where results are presented and challenged.

- Develop strategic tools for standardising and consolidating RMPM status reporting/drilldown

- 8+ years of experience in SIMM/VaR Backtesting (reporting and breach root-cause analysis)

- Good understanding of FO P&L attribution and market risk model for derivative instruments across different asset classes.

- Experience dealing with multiple stakeholders Risk Managers, Product Controllers, Risk IT, Front Office and Regulators.

- Strong inclination to work in a hybrid set-up which involves model development along with managing BAU deliverables.