AVP - Economic Capital Quantitative Analyst - Investment Bank

We are looking for candidates within Mumbai location for Economic Capital Quantitative Analyst role, below is the jd-

Organisation- Investment Banking

Position- AVP

Job location - Mumbai

Selection process - Telephonic, aptitude test and PI round

Qualification needed-

- first degree in mathematics, physics, econometrics, statistics or engineering

- or MBA with Risk certifications - CFA/ FRM etc.

Total experience needed- 5-10 years

Skills needed- Need candidates who develop Economic Capital Models, have exposure into quantitative risk management.

Department overview

The ERC Methodology team is part of the Enterprise Risk Management functional area, reporting to the Chief Risk Officer. The team is responsible for developing the methodology for many of the components of the bank's Economic Capital model and is accountable for:

(1) Creating and maintaining models which capture all relevant risks across Company's businesses;

(2) Making sure that the model adhere to internal and external expectations;

(3) Reviewing the implementation of the model in IT systems;

(4) Describing and documenting the model following internal and external standards; and

(5) Establishing policies and processes covering risks attached to the model.

This includes:

- Ensuring the model's assumptions and limitations are understood and communicated to users

- Identify model risks and understand the aggregate uncertainty arising from the use of models.

- Define methodologies to accurately estimate risks not in models at the appropriate granularity.

Roles and Responsibilities -

The team has an opportunity for an experienced Risk professional to take part to the development of methodologies for ERC.

- Play a central role in the development of a - best in class- Economic Capital model

- Understand how the Economic Capital model is used in a leading financial institution

- Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture

- Research alternative methodologies, and compare them; justify and test the chosen option

- Ensure that models are adequately documented for both internal and external (e.g. regulatory) purposes

- Collaborate with IT analysts and developers to implement changes to the model

- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implication

Desirables-

- At least 2+ years of experience in quantitative risk measurement within an investment bank or other financial institution; previous Economic Capital experience is desirable

- Previous experience in leading methodology development projects and supervising quantitative analysts would be an advantage

- A higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be an advantage

- General knowledge of risk issues and investment products

- Candidates with some programming experience is an advantage, preferably using C#

- Experience in methodology documentation is highly valued

- Ability to work well in a team and building relationships

- Ability to produce high quality, accurate work, under pressure and to tight deadlines

- Willingness to challenge the status quo and ability to provide alternative approaches.

Ankita Mishra
Enigma Human Capital
9807673995