Associate - Market/Credit Risk Methodology - BFS

Associate - Market/Credit Risk Methodology _2-3 yrs (MSc Stats/Maths)

Work closely with the Global Capital and Rating Methodology (CARM) team on the projects related to Economic/Regulatory capital models (eg. FRTB).

- Be a key point of contact with respect to such models.

- Work closely with Risk Managers who are the end users of such models and risk IT who develops these models in risk systems.

- Actively participate in validation of the models/model-changes during implementation phase.

- Create analytical tool/provide support in creating such tools to facilitate offline calculation of risk numbers with respect to Economic capital.

- Participate in periodic model parameter calibration exercise.

- Perform offline risk capital calculation business/products (periodically and on adhoc basis). Provide necessary support to CARM during validation of Economic capital models by Model validation group/Audit including any model change on an ongoing basis.

- Lead the projects related to CARM including but not limited to system migration / new implementation2-3 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 5 CT papers)

- FRM/PRM/CFA certification would be added advantage