Hiring for Risk Methodology-FRTB-Associate/Sr. Associate

- Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory capital models (eg. Basel, FRTB).

- Work on the prospective regulation i.e. FRTB, perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).

- Ensure that the FRTB IMA models meet their stated objectives by building robust risk factor eligibility test tools, NMRF SES and IMA ESF methodologies.

- Act as a subject matter expert for the risk models including an understanding of FRTB guidelines and providing support to the model users (i.e. Risk managers) and be a key point of contact with respect to such models.

- Development and periodic update of proto-type models with special attention to the model related to Market risk VaR.

- Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).

- Create strategic tools for VaR/RNIV/Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.

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

- Providing live trade support for VaR/RNIV/Add-on Computations and performing offline risk capital calculation business/products (periodically and on ad hoc basis).

- Provide necessary support to team during validation of VaR models by Model validation group/Audit including any model change on an ongoing basis.

- 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)

- Good understanding of ongoing banking regulatory requirements (BSBS)

- A strong Mathematical/Statistical background.

- Actuaries (Cleared at least 3 CT papers) would be advantage

- FRM/PRM/CFA certification would be added

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.