AVP - Group Regulatory & Risk Analytics - Market Risk

- Team provides analytics support to various group businesses and functions. Typical deliverables include data analysis, providing analytics insights, model development, validation, calibration, strategy development, monitoring and reporting, information management and business intelligence. The deliverables form the basis for strategic planning by the senior management for businesses and enables effective decision making to satisfy business needs and requirements along with addressing unforeseen challenges.

- The Wholesale Credit and Market Risk (WCMR) department within Group Risk measures and monitors globally credit and market risks arising from trading activity as well as credit approval for large corporate, financial institution and sovereign exposures.

- The Regulatory and Risk Analytics team within WCMR oversees the policy, models, methodology, regulatory reporting and systems for counterparty risk arising from trading activity. It also acts as a central consolidation point for key risk data and analysis such as stress tests results.

- The Basel II/III regulatory framework introduces significant regulatory requirements on counterparty risk models. Further rule changes proposed by the Basel Committee are now under consultation and will need to be implemented over the next few years. Model development, approval, implementation and maintenance are essential for minimizing RWA and credit usage. However, the regulatory requirements significantly add to the effort required.

Qualifications

- At least Masters in any of the following fields:-

- Economics

- Engineering (or B-tech with relevance experience)

- Stats/Maths

- MS / MBA in Finance

Experience

- Around 10 years of professional experience in financial services

- Prior experience in model development and validation in wholesale credit risk domain

- Understanding of regulatory implications and relevance

- Prior experience to small and large corporate credit risk Basel models would be beneficial

- Management of project teams, both direct and matrix