Associate - Market Risk Analytics - Investment Bank

Roles & Responsibilities:

1. To work closely with the Global Capital and Rating Methodology (CARM)/Risk Architecture Office(RAO) team on the projects related to Economic/Regulatory capital models (eg. FRTB)

2. To 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 model in risk system.

3. Actively participates in validation of the model / model-changes during implementation phase.

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

5. Participate in periodic model parameter calibration exercise.

6. Perform offline risk capital calculation for certain business/products (periodically and on adhoc basis)

7. Provide necessary support to CARM/RAO during validation of Economic capital models by Model validation group/ Audit.

Qualification, Experience & Skills:

1. A strong mathematical/statistical background.

2. Good programming understanding in Python.

3. At least 2-3 years of Risk experience (either Market risk or Credit risk) with good understanding of risk modeling.

4. Knowledge of derivatives valuation and risk modeling is highly desirable Person should have quantitative acumen and should have interest in quantitative task.