AVP - Traded Risk Models - Global Analytics Centre - PhD

Hiring PhD's only for below role.

Description of Role

- Global Analytics Centre (GAC) within India provides analytics support to various group businesses and functions under Group. 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.

- GAC - Regulatory Risk Analytics, Wholesale Credit and Market Risk department within is an extended team of Group - Regulatory & Risk Analytics for Wholesale Credit & Market Risk portfolio across Group & Region to provide analytical support in Model Development & Implementation, Model Validation & Monitoring, Portfolio Management & Capital Allocation and Project Management & Policy Designing.

- The Model Validation Team within - Regulatory Risk Analytics, Wholesale Credit and Market Risk (WCMR) department provides support in validation and monitoring of BASEL governed Wholesale Credit & Traded Risk Models across Group & Regions. The team also responsible for validation and monitoring of Stress Testing, Economic Capital and IFRS 9 Models, regulatory reporting and process reengineering to enhance efficiency.

- This role is within the Traded Risk Model Validation team established to assess the performance of the traded risk models, measure the impact on capital requirements and understand and manage the model risk within RRA.

Traded risk models include:

(1)Market Risk models;(2)Counterparty Credit Risk models;(3)Margin models;(4)Add-on models;(5)Economic Capital

Role Purpose (overall high level summary of the role):

- Development of Backtesting and Monitoring methodology for Traded Risk Models

- Design of process and application for Backtesting and Monitoring in suitable platforms

- Create environment for Backtesting and monitoring for simulations of scenarios

- Develop suitable framework for validation of Traded Risk Models

Principle Accountability:

- Lead model validation and monitoring projects globally to harmonize and coordinate with regional activities

- Functionally drive the validation methodologies and design the global validation framework

- Engage with credit and businesses to manage model risk.

- Attention to time schedule and resource planning, participate to panel meetings and discussion with business experts, write good quality and comprehensive documentation.

- Maintains internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators.

- The job-holder's responsibilities cover the model validation of all models included in the Traded Risk function

Qualifications

- PhD

Experience

- Minimum 4 years of professional experience in analytical services or research projects

- Expertise in statistical methodologies preferably having research experience in statistical / financial fields

- Understanding of regulatory implications and relevance

Skills

- Highly focused on project delivery, attention to detail

- Excellent written and verbal communication skills

- Strong collaborative, influencing and team building skills

- Strong analytical and problem solving skills, open minded, flexible, pragmatic

- Good estimating and planning skills

- Enthusiastic, displaying energy, drive and stamina

- Willing to work with colleagues in other areas/timezones where appropriate

- Open personality and effective communication skills, ability and flexibility to work in an international team

- Ability to write clear and understandable documents