AVP/Associate - Risk Methodology Quant Analyst

Risk Methodology (RM) is responsible for model development of internal risk and capital models across market, credit and operational risk. Key stakeholders within the Risk Department are therefore the risk management functions Market Risk Management, Credit Risk Management (including Business Aligned Risk Managers), Operational Risk Management and Enterprise Risk Management.

RM carries out this responsibility in an independent and neutral way, providing a comprehensive and independent view of market and credit risks to Senior Management.

Job Title: Risk Methodology Quant Analyst

Functional Title: Assistant Vice President/Associate

Division: Risk Methodology

Location: Mumbai

Responsibilities will include:

Methodology:

- Recalibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models

- Recalibration of model parameters which are used in the internal ratings based models for credit risk

- Recalibration of the period of significant financial stress for calculating SVaR

- Recalibration of scaling factors for estimation of materiality of risks-not in the VaR model

- Theoretical back-testing for the performance measurement of internal models, in particular Value-at-Risk models

- Regular monitoring of the credit risk score quality for credit applications

- Data analysis and preparation for credit risk rating model development and parameter calibrations

- Analysis support for Risk Methodology teams in Europe, e.g. explaining outcomes of internal models for businesses

- Work with CRM units to explain outcomes of the score monitoring and/or data quality / operation teams on artefacts detected in the model development data

You will have:

- High professional and ethical standards.

- A 'can-do' attitude and a delivery focus.

- Several years of experience in a banking or consulting environment

- A quantitative university degree

You will be:

- A strategic and analytical thinker.

- Highly professional and ethical.

- A strong team worker with an ability to build strong business and team relationships.

- Able to respond to changing priorities and work to urgent demands.

- Proficient in the English language, both written and oral.