AVP - Quantitative Finance

AVP

Responsibilities:

- Understand the products traded and trading strategies used.

- Develop and specify the VaR model.

- Understand and monitor the VaR model's performance.

- Ensure that any risk not captured by the VaR model is measured within the Risks-not-in-VaR framework.

- Ensure that any significant tail-risk is highlighted to the Scenarios team.

- Support the development and specification of the Economic Risk Capital (ERC) model.

- Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.

- Collaborate closely with the data team to ensure that the historical data used in VaR or ERC calculations are appropriate.

- Collaborate closely with the Strategic Change Management (SCM) team, to ensure that any changes to methodology are appropriately project-managed for implementation.

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

Essential:

- IIT/Phd/Msc ( mathematics, theoretical physics, econometrics, statistics)

- Quantitative Finance

Contact - suparna@ikyaglobal.com