Corporate Title: Vice President

Qualification: Master's in a quantitative discipline (e.g., B.E/B.Tech + M.Tech, MSc in Maths/Stats/Physics, Econometrics)

Role & Responsibilities:

- Work closely with stakeholders including Front Office, Risk Managers, and IT on projects related to Regulatory capital models (e.g., FRTB).

- Perform firm-wide and desk-level analysis to assess the impact of new regulations and support quantitative impact studies (QIS).

- Act as a subject matter expert for risk models, including FRTB guidelines, providing support to model users and acting as a key point of contact.

- Ensure regulatory models meet their objectives by building robust methodologies for SBA, RRAO, SA DRC, Risk Factor Eligibility Testing, NMRF SES, IMA DRC, and IMA ESF.

- Develop proto-type models for Model Performance Monitoring of FRTB models.

- Implement risk models into the strategic risk system, including methodology development, prototyping, writing technical business requirements, model testing, and liaising with the model validation group.

- Create strategic tools for deal analysis, RWA driver analysis, NMRF Add-on, PnL Adjustment, and Backtesting using Python to facilitate FRTB implementation.

- Build FRTB-based "What-If" prototype tools in collaboration with Business and Risk Managers for new portfolio and hedge impact analysis.

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

- Provide support during the validation of market risk models by the Model Validation Group and Audit.

- Handle stakeholder requests on RWA optimization and "What-If" analysis, which involves:

- Collaborating with global stakeholders to understand requests.

- Running and explaining "What-If" scenarios (e.g., IMA/SA desk splits, pre-trade capital impact).

- Utilizing capital allocation methodologies (e.g., Euler) to identify key capital drivers.

- Preparing and presenting results to stakeholders.

- Support the building of tools to make processes more efficient.

- Hold technical workshops to educate stakeholders on FRTB SA and IMA models.

Mind Set:

Domain Mandatory Desired

- Expertise in all FRTB capital models, PLA, and RFET. Hands-on experience with SA and IMA models.

- Experience handling stakeholder requests from Front Office and Risk Managers.

- Strong Market Risk RWA modelling background, preferably on FRTB SA and IMA models.

- Strong coding skills in Python. Proficiency in SQL/Excel.

- Understanding of Gitlab.

- Solid knowledge of VaR, Greeks, and risk management concepts.

- 8-10 years of experience in Market Risk with a strong understanding of risk modelling.

- Good understanding of mathematical concepts (probability, statistics, calculus, linear algebra).

- Good understanding of financial products (Bonds, Derivatives). - A strong Mathematical/Statistical background.

- Actuaries (with at least 5 CT papers cleared).

- FRM/PRM/CFA certification.

Core Competencies:

- Culture & Conduct: Professionalism, self-awareness, and a respectful attitude.

- Client-Centricity & Business Acumen: Strong product knowledge, accountability, detail orientation, and a solutions-focused approach.

- Strategy & Innovation: Stays up-to-date, demonstrates entrepreneurial thinking, and is open to new ways of thinking.

- Leadership & Collaboration: Shows initiative, leverages resources effectively, and provides logical rationales.

- Communication & Influence: Speaks and writes clearly, builds strong relationships, and demonstrates active listening.

- Execution & Delivery: Maintains a can-do attitude, sees tasks through to completion, and prioritizes effectively to meet deadlines.

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